Please take this for an example:

CREATE PARTITION FUNCTION [myPF1] (datetime)

AS RANGE LEFT FOR VALUES ('20110731', '20110807', '20110814', '20110821');

CREATE PARTITION SCHEME myPS2

AS PARTITION myPF1

TO ( fg1, fg2, fg3, fg4 );

This should be what will each filegroup(fg) contain:

FG1= DATA <=20110731

FG2= DATA > 20110731 AND DATA <= 20110807

FG3= DATA > 20110807 AND DATA <= 20110814

FG4= DATA > 20110821

You can also modify the partition scheme to include a next filegroup. hope this helps.