Please note you need to upload the contact list before creating the segment. Here's a link to a help desk article with instructions on how to upload a contact list.
From your Dashboard, click 'Guests & Segments', then 'Segments'.
When you are in the "Choose segment" section of the campaign builder click on "Create a new segment".
A white pop up window will show up and you will need to enter the name of the segment. Your new segment can have the same name as your contact list.
Next, you will also be able to select the conditions (you will filter the contact list you want). Under "Find guests who match the following conditions" you will see a drop-down menu. Scroll down, or free type, and within the section named "Email Marketing " select "Contact List".
Then choose “is” and the name of the contact list(s) you would like to target in your campaign. 
You can update the stats to see the number of people that will be targeted in this campaign and then click “Create.
You will see a green notification on the left top side of the page telling you the new segment was successfully created.