A document collection is a set of interrelated documents. The difference from a multi-file document is that each member of a document collection is independent and has its own metadata. In addition, the document collection has a collective set of metadata that is independent of the member documents. By contrast, in a multi-file document, all document files share the document's properties.
To create a document collection in M-Files, click the Create button and select Document collection... from the list. Then select a class and fill in the shared metadata of the collection.