A Material Group is a grouping of Materials.

It may help your understanding to think of them as types of Materials, eg you may have a Material Group called Steel Plate that includes Materials called Steel Plate 3mm, Steel Plate 5mm, Steel Plate 10mm, etc.

To set up a Material Group in Empower Quoting, from the main menu, go to Set Up > Material Group. 

Enter the new Material Group name and click on Add.