Collections are lists of releases which can be created and edited by users. Each one can be private or public, and there is no limit to the number of collections a single user can have.
You can find a list of your collections under My Collections, in the My Data menu. From here you can access your collections and edit them, remove them and create new ones.
Adding releases to a collection
Releases can be added to a collection either from the website or by using a music collection tool which tells the server which releases you have in a specified directory on your computer. This requires the releases to be tagged.
You can add a release from the website by going to the release page of the release to be added, and click the "Add to (collection name)" link in the sidebar. If the release is already in one of the collections, for that particular collection you will be shown the option to remove it from it instead. If you currently have no collections, you will have to add one before you can do this: you can also do that from the sidebar.