Subscribing to a newsgroup tells XanaNews that you intend to download and read the messages in that group. Once you subscribe to a group, it appears in the Subscribed groups tree. You can select the group there and download new messages and display already downloaded messages.
Once messages have been downloaded they are stored on your computer until you delete them, either indivudyally, or en masse using the Messagebase Management functions.
Note that subscribing to a newsgroup is something that happens entirely on your computer. The server doesn't know or care which groups you are subscribed to.