A feature dataset is a collection of related feature classes that share a common coordinate system. Feature datasets are used to spatially or thematically integrate related feature classes. Their primary purpose is for organizing related feature classes into a common dataset for building a topology, a network dataset, a terrain dataset, or a geometric network.
Step 1,
Right click on the Geodatabase --- New --- Feature Dataset
Step 2 -
Give a name as you wish --- Next
Step 3,
Assign a coordinate system to feature dataset,
Step 4,
after assigning the coordinate system just press next till its finish... Done
