In Mendeley Web, first sign in and then click on the Groups link at the top of the page. From here, you'll see a "Create a New Group" icon which you can click. This will bring you to the Group Creation form where you can set the name, a description, tags, some disciplines and the privacy level of the group.
After creating the group you can go to the Settings pane of the group to add members.
Within Mendeley Desktop, locate the "Groups" header in your list of collections on the left, and click on "Create Group". You will see the same group creation form from the Mendeley Web, and you can set the name, a description, tags, some disciplines and the privacy level of the group.
Once done, you can select your newly created shared collection on the left, and then locate the "Edit Settings" button above the center column. From here, you can manage your groups's members.