Bookmarks can be assigned to groups. A bookmark can be assigned to a group at the time of creation or afterwards. A bookmark can only be assigned to an existing group. Until assigned a group, a bookmark is listed as "Unfiled." Unfiled is not literally a group but a statement about the bookmark's group status.
To assign a bookmark to a group at creation, select the desired group from the "Group" drop-down menu as you are filling in the fields on the bookmark editing page.
To assign an existing bookmark to a group, please see "Moving a bookmark."