In Outlook Express, follow this route:
Tools > Address Book > New > New Group > (Type your chosen name for the group) > Select Members > (Highlight each name you require in the left-hand pane. Click 'Select' to copy the name across to the right-hand pane) > OK.
(If there are any people you wish to add to the group who are not already in your address book, just click 'New Contact' during the selection process, above).
Your Contacts List will now include your newly created group. Double-click on the name to create a new mail message for the group. (Alternatively, you can simply type the group name into the 'To' field of a new e-mail).
Chris