Add new FileGroup and new file to DB

ALTER DATABASE [<DB_NAME>] ADD FILEGROUP New_FileGroup 

GO

ALTER DATABASE [<DB_NAME>] ADD FILE(NAME = N'New_FileGroup', FILENAME = N'E:\BackUp\DB_NAME_New_FileGroup.ndf' , SIZE = 50, FILEGROWTH = 5) TO FILEGROUP New_FileGroup

GO