1. In Entourage, open the Address Book. Select any contact before clicking on the New contact icon. (in the example below, "Gac Admin" is selected) 
2. Select Group.
3. Name the group (example: "SearchandScreen") and add members. 
4. To maintain the privacy of each member's name from others in the group, you can check the following box: "Don't show addresses when sending to group".
5. To save the new group, select File --> Save.
6. You can now address mail messages using this group. Simply type the first few letters of the group's name. (just as you would add an individual)
7. In order to edit the group, you will need to locate and open the group from the Address Book located On My Computer:
Note: You can not "move" this group to your Contacts folder. These groups will only appear within Entourage (not in Outlook) and only on the Macintosh used to create them.