From WM Help - "Create contact groups (mailing lists)":
You can send an e‑mail message to a contact group using Windows Mail. To do
this, open Windows Contacts, right-click a contact group, point to Action,
and then click Send E‑mail. This will open a new e‑mail message in Windows
Mail addressed to all the members of that contact group.
Windows Contacts can be found at Start > All Programs > Windows Contacts