How do I set up a group mailing list
The steps for creating a Mailing List are 


create a Group of contacts (from a Search or other method)
set that Group to be used as a Mailing List


It is unclear what you mean by 'choose a new mailing list option'. It may help if you add some screenshots after (re)reading https://docs.civicrm.org/user/en/latest/organising-your-data/groups-and-tags/#group-settings-and-functionality to ensure we are all on the same page about what you are trying to do. Thanks