From the "Address Book" section, click on the "New distribution list" button.
You will need to give the new list a name, it is generally wise to give it a meaningful name otherwise it can become confusing in the future.
All the contacts in your Address book will be shown on the right hand side of the screen. To add a contact to the distribution list, click on the name.
This will move the contact to the "Members" list. Repeat this until you have completed your distribution list.