Smart groups are a very helpful way to have a mailing list that keeps itself up to date, based on rules you tell it to look for. The "group" is actually a search definition, and not a list of people. Each time the group is used, the search is run, and the current results are the group.
Begin by doing a search in CiviCRM, usually an advanced search. Often you will be most interested in the membership section, selecting membership types and status.
After the search runs, and the results are showing, and above the results there is a box that lets you select resources, print the list, and a drop-down for other things you can do.
Click the radio for "select all".
Change the drop-down to "New Smart Group" and hit "Go". You will be prompted to name the group, and specify that it is a mailing list, and save.
You can use the smart group the same way you use any other group.
Mailing List
Any smart group can be used as a mail list, so you can quickly send a message to all individual members, all sustaining orgs, etc.
The list for "expired members" includes every membership that has ever expired. An org may have a current membership now, and also have past memberships that are expired. To send an email to the expired members, select "expired members" as the group to send to. Then the next box down has the list to exclude. Select "active members".