For creating mailing list you can manually add your desired list which you want to send your letter in how to create an address list in word page you can learn more about it.
Another way which you can insert your list in mail list is importing them from excel for that you should follow these steps;
How to Import Address List From Excel;
1- Click on the Mailings tab.
2- Click on the Start Mail Merge;
- Here you can choose your desired format for your letter, here we choose E-mail Messages, you can choose your desired item.
3- Click on the “Select Recipients”;
4- Choose “Use Existing List” item.
5- Choose your excel file which you have your address there.
6- Click on Open.
7- Choose the sheet which you have your address in it if your excel file has more than one sheet.
8- Select “First row of data contains column headers” box.
9- Click Ok.