Well, John has his own special way to make sticky threads, but we won't go into that here... For the rest of us, a sticky thread is a thread posted at the top of the "Discussions" tab in each group. It is usually a thread that the group owner feels is important enough to keep at the top for easy reference. For example, it might be a list of FAQs for that group, or it might be the most popular thread that the group owner wants to remain visible no matter how many new discussions are started.
If you are a group owner or leader click on the discussion you want to make sticky and below the original post you will see several options. Click on the "make sticky" link and you got yourself a new sticky! Go check for yourself.
To make it "unsticky", click on the sticky thread and below the original post click on the "make unsticky" link.