Click Add/Remove Newsgroups under the Tools menu to open the group list editor.

To add the newsgroup to an existing virtual group, open it by double-clicking its entry in the top pane.  To add a new virtual group, leave them closed.

Type a part of the newsgroup name in the Search box.  Select one or more newsgroups from the results and click the Add button.

A server picker dialog will appear.  Check the servers you wish to download headers from.

Your newly added newsgroup or newsgroups now appear in the top pane.