InformIT: Mac OS X Unleashed - Address Book: "the group setup window should appear,"I don't believe there's a group setup window any more. It's easy to add an address to a group, but I don't think there's away to inspect or interact with an address and find out which groups it belongs to.
Select a contact in the Name column.
Hold down the Option key.
Address Book highlights the groups the contact belongs to in the Groups column. If you have a lot of groups, scroll the list to see all of the highlighted groups.