Please refer to these online Microsoft Exchange Instructions for assistance with creating a 'Contact Group' in Exchange and 'Adding Contacts' to the group.
How to Create a Contact Group:
Windows OS -Create Contact Group in personal address book (PC version – Office 2013)
Mac OS - Create Contact Group in personal address book (PC version – Office 2016)
How to Add Contacts to the Group:
Add a Contact to personal address book (PC version - Outlook 2013 and Mac version Outlook 2016)