This one's all about Klaviyo. So let's start by heading there.

Navigate to https://www.klaviyo.com/lists
Click "Create List / Segment"

Navigate to https://www.klaviyo.com/lists

Segment
A dynamic segment of people based on their behavior or properties

Click this text field and type your segment name.
We suggest having a standard naming convention to easily search and filter your campaigns.

Start setting your segment conditions by choosing your 'Definition'.
You can see we've chosen 'What someone has done (or not done)'.

Now chose the parameter you need. 
We've chosen "tb_message_delivered" and kept the frequency and time periods open-ended.

And, you're done! 
You can now see and use your new Segment.