Campaigns are names that help you keep track of the different campaign effort made.
Campaigns are found in Lead, Opporunity and Quotation forms.
Once a Campaigns is added, you can make use of the search function to group the list based on campaign.
Please refer to Search for more information.
Go Sales -> Configuration -> Leads & Opportunities -> Campaigns
To create a new Campaign, simply click on and enter the new campaign name.