The following sample script illustrates FILEGROUP creation with multiple diskdrives:

USE master
GO

ALTER DATABASE SalesDW
ADD FILEGROUP [SalesHistory]
GO
ALTER DATABASE SalesDW
ADD FILE
(NAME = N'SalesDWArchive',
FILENAME = N'H:\SQL2005\SalesDW\SalesDWArchive.ndf',
SIZE = 40MB,
MAXSIZE = 5000MB,
FILEGROWTH = 10MB)
TO FILEGROUP [SalesHistory]
GO
ALTER DATABASE SalesDW
ADD FILE
(NAME = N'SalesDWArchive',
FILENAME = N'G:\SQL2005\SalesDW\SalesDWArchive.ndf',
SIZE = 2000MB,
MAXSIZE = 30000MB,
FILEGROWTH = 100MB)
TO FILEGROUP [SalesHistory]
GO