Before adding a users security the security group that you want them to belong to needs to be created. It the group already exists see adding a user to a security group.
If you want to change what a group can do see below. Multiple users can belong to the same group
Go to Edit >> Edit User Data >> Security >> Security Groups
Click on the group you want to edit and then click the edit icon
If you have privileges to do so you can go through the menu and change what this user group can do. If you want to add a new group click the "+" first then add the new group and click the Save disk.