Collections are created at the account level and shared across all users who have access to that account.
Click on Segmentation from the top navigation to get to the Audience Builder to create a new collection.
Under Your Data, click Collections, then click on New Folder. After naming your collection, click the check mark. You can immediately begin adding attributes and attribute values to it.
To share, rename or delete your collection, hover on the collection name, and then click on the ellipsis (...) icon. This is also where you can create a new sub-collection within your collection.