How do you access the Google Groups website? By going to http://groups.google.com?
Try instead going to http://groups.google.com/a/`yourdomain.com` (replace yourdomain.com
with your Google Apps domain), and create your group there.
If you're still not able to create a group on your domain, the domain administrator may havehas not enabled the Google Groups for Business feature (which is separate from the regular Google Groups product). Or, the administrator has not allowed users to create their own groups.
If users are unable to create their own groups, the domain administrator can still create the group from the Google Apps control panel (http://www.google.com/a/`yourdomain.com`). Click Groups -> Create a new group.