On the Recipients step of the email creation, identify the recpients of the mass email.
Current Selection will send the email to the results of the search that you conducted immediately prior to setting up the mass email. If you conducted a search and then launched the mass email wizard, then the current selection will send the emails to the recipients of that search.
Saved List will send the email to the individuals saved in the selected list.
Quick Selection will send the email to the individuals included in the selected Quick Selection.
Activity Campaign Members will send the email to the individuals included in the selected Activity Campaign.