You need to install a NNTP Server, Windows 2000/2003 comes with one out of the box (under IIS). I am not sure how you go about creating the various groups but this should point you in the correct direction.
Actually I have the same question but for a different reason. I want to create a news group for developers of small software projects. The newsgroup would be private and I don't need any other public news feeds. I checked website and even newsgroup but still haven't get any useful result.
If you are setting them on your outlook then might want to check outlook for help or windows related website or simply run a search on 'how to setup newsgroups' on google.
You can visit www.howstuffworks.com and find it there! thanks, Yaser.
I run UsenetRocket.com. If you are still looking for newsgroup type solutions, let me know. I offer access to public newsgroups, but I'll see what I can do to at least point you in the right direction.
Send me a pm with a few more details.
How many newsgroups do you want?
Are the newsgroups completely private?