To send personalised emails use Mail Shots instead.
To create a Mailing List click Start > Marketing > Mailing List to open the Mailing Lists Landing Page, then click New Mailing L ...
Make sure that your Mailing List only includes recipients with a valid email address, otherwise, when you try to send your email it will fail.
Mailing Lists can be created manually but more commonly they're created from a Report that targets a particular group of People/Leads with a shared attribute (or attributes) or are created from the membership of a Marketing Campaign.
Clicking on Start > Marketing > Mailing Lists displays the Mailing Lists Landing Page where you can view existing Mailing Lists.
To open a Mailing List hover over it until it's underlined and click on it.