Hello,
First create the new filegroup
USE master
GO
ALTER DATABASE Test1
ADD FILEGROUP Test1FG1
GO
ALTER DATABASE Test1
ADD FILE
( NAME = test1dat3,
FILENAME = 'k:\SQL\database.NDF',
SIZE = 200GB,
FILEGROWTH = 10GB)
TO FILEGROUP Test1FG1
Then rebuild the clustered index into the new filegroup created
CREATE CLUSTERED INDEX CIX_YourTable
ON dbo.YourTable(YourClusteringKeyFields)
WITH DROP_EXISTING
ON [Test1FG1]
And that's it. I hope this can clear things up.