Group messaging allows you to send a single text message (MMS) to multiple numbers, and have the replies shown in a single conversation.
To enable group messaging, open Contacts+ settings >> messaging >> check the group messaging box. Then, make sure your own number appears correctly in the MMS settings (below group messaging), under the device's number.
If you're still unable to send/receive group messages, please make sure that MMS messages are working for you (see the MMS issues article to troubleshoot MMS sending issues here).