In order to select groups for your groups list on the main window, open the Options dialog by pressing the Options button on the toolbar, or by selecting the Options entry in the File menu. Then choose the Groups tab. This is what you'll see:
If you haven't downloaded the list of groups from your server(s) yet, or would like to do so again, just press the Newsserver button in the Retrieve from: section. When the download is complete, just enter a keyword in the Search box to search for groups.
If you have downloaded the list of groups already, you should press the Local file button in the Retrieve from: section to view it.
To select a group, simply check it.
If you want to, you can add a group manually, by typing its name in the Manual box and press the Add button. This is useful when you want to add a new group and don't want to download the headers all over again.