After signing into webmail, click on the link that says "Addressbook." Check the boxes next to the addresses you would like to group together in a list, then click the "Add to List" button on the top right and add the addresses to a "New List". You can later edit this list, or add and remove addresses from the list at your leisure using the same menu in the top right corner of the Addressbook page.

Email distribution lists are groups of email addresses you can send emails to in webmail by simply adding the group name as a single recipient to the email.