the groups manager is used to creates groups of values that can be used in a rule.
lets take the concept of user level authentication as an example.
you may have user levels of:
user: userlevel = 1
admin: userlevel = 2
super admin: userlevel = 3
if you want to create a rule to allow both admins and super admins access, you would create a group that contained the values 2 and 3
then in the rules manager set the comparison to use In Group and select the group that was created with the values 2 and 3 in it.
see the user level authentication tutorial for details:
it was written for security assist 1, but the concept is the same.