If File > New > Contact Group is dimmed out you can enable this feature by opening Outlook and pull down the Outlook menu (located just to the left of File), and select Preferences. Choose the General icon(under Personal Settings) and under Folder list uncheck the box next to "Hide on my Computer folders." After unchecking this box, you can now go to File > New and then choose Contact Group.
Keep in mind, however, when you create contact groups on the Mac they are only available locally from that Mac computer. You are not able to access them from Outlook Web access (OWA) or another computer, although you can import groups into Outlook for the Mac or for Windows. So if you need to have groups available elsewhere, you may want to create the group from OWA.
For other Outlook features, come to ITS' Outlook 2011 for the Mac on Thursday, Jan. 31 from 1 to 3 p.m. or Outlook Web Access also on Thursday from 3 to 4 p.m. in Wittson Hall, Room 8011 (ITS training room).