Use a list.
groups = [0]*3
for i in xrange(3):
groups[i] = self.getGroup(selected, header + i)
or more "Pythonically":
groups = [self.getGroup(selected, header + i) for i in xrange(3)]
For what it's worth, you could try to create variables the "wrong" way, i.e. by modifying the dictionary which holds their values:
l = locals()
for i in xrange(3):
l['group' + str(i)] = self.getGroup(selected, header + i)
but that's really bad form, and possibly not even guaranteed to work.