Assignment groups allow you to structure your course with modules or units. To create a group simply click on the "Assignment group" button that is located next to "Add Assignment". You can then give a name and also choose a color for the group at the window that pops up.
You can also configure and add descriptions to the groups by following the three dots at end of the group that is created.
Note that you can add assignments to the created groups during assignment configuration as well as by simply dragging an assignment and dropping it into the desired group.