Source is used to defined the source of the link for the leads, opportunities and sales.

Source are found in Lead, Opporunity and Quotation forms. 

Once a Source is added, you can make use of the search function to group the list based on Source. 
Please refer to Search for more information.

Go Sales -> Configuration -> Leads & Opportunities -> Source

To create a new Source, simply click on  and enter the new source name.