A grouping is a collection of groups within a course - a new concept introduced in Moodle 1.8.
It is intended that different groupings can be used for different course activities (only implemented for wikis), so for example the groups in a "Collaboration Grouping" would be used for a group wiki, while groups in "Discussion Grouping" are used for a forum activity.
On the course module settings page, simply keep the default [Any grouping], or select the grouping you wish to use and save your changes.