You can do this by adding report results to a group with the following steps in an Email Campaign:
  1. Email > Email Campaigns.
  2. Select the Email Campaigns tab, and perform a search for the email campaign where the message is located.
  3. Select Manage on the Email Campaign.
  4. Select the Reports tab.
  5. Choose Message Open Report from the drop down.
  6. Select the desired message and choose next.
  7. Enter a report label or leave it blank and select Submit Report.
  8. Once the report results are displayed in the top left hand corner you can select "Add results to group".
  9. From here select to either create a new group, or add to an existing group.