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.