By default a single file group exists for SQL Server databases. It is primary and default file group for that database. However for better manageability and performance optimization we may be required to configure additional file groups for particular database. Data may be spread over multiple files in different file groups. SQL Server provides an option to change the default file group from primary file group to any other. Read here my article related to Using Multiple File groups for a Database and Changing the Default File group.
DBA best practices, dbDigger, Performance Tunning and Optimization, Publications of Atif Shehzad on MSSQLTips.com, SQL Server Filegroups