What is it you are trying to acheive exactly? Do you want a dynamic list based on certain criteria that automatically updates? This will need to be created by the Exchange administrator and is defintely possible depending on the size of the list as there is a limitation.
For personal lists for yourself within Outlook go into Outlook and into your contacts folder. Select to create a new contact group. Name it and choose “Add members”. Inside the add members window you can do an advanced find. If the criteria you want to use is an available field you can search using that criteria and add those members. There is not a way to make this list dynamic so it automatically updates like you can with the organizational distribution list.