If you see Pick Multiple…, you can select it to pick (and save) multiple items from the drop-down.
The list on the left are available options and the list on the right are the values the report data will be filtered on.
To save your list, enter a name in the lower-right box and click Ok.
When you run the report the selected parameters will be applied.
To delete a saved grouping, choose the Pick Multiple… option and choose your saved list in the upper right.
Clicking the trashcan icon when the list item is selected will delete your saved grouping.