The first step in grouping shapes is to select the shapes. You can do this by holding down the SHIFT key while you click them, or by dragging a selection net around them.
When you've got the shapes selected, on the Shape menu you click Grouping and then click Group. That's it: the shapes are now grouped.
You can do anything to a group of shapes that you can do to a shape: resize it, rotate it, align it with others, and so on. Visio treats a group as one big 2-D shape.
Tip The shortcut key for grouping is CTRL+SHIFT+G. (Think "G for Group.")