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 Guests, click “Segments” then “New Segment”.
A pop up will open. Enter the name of the segment you’d like to create. Your new segment can have the same name as your contact list.
Next, click “Select conditions”. Under "Profile", then “Contact List”. Select the drop down menu and choose “is in the list of” then choose the contact list or lists you’d like to target. Select “apply” to populate the data.
Click “OK” to create your contact list segment.