Collections contain several videos that are meant to be viewed together. To create a collection you'll need to have your videos uploaded first so that you can add them to the collection.
Navigate to Content > Collections and click Add New. Fill out the collections details and Save your changes.
A collection isn't complete without adding videos to the playlist though, so make sure you click the Playlist tab and add the videos you want to be part of the collection.
Lastly, head to the Appearance tab and give your collection a category.