Here is a video which shows the creation of a Custom Geo Segment. You can also follow the step by step instructions below the video if you prefer.
After choosing to create a new Segment, click on the attribute list and scroll to "Custom Selection"
Choose "Edit in Map"
You will see a map of the world, which you can navigate by hovering within the map and scrolling on your mouse, using the controls in the top left, or clicking and dragging
Adjust the map until you have a good view of the region you want to select, in this example we are looking to target a section of the middle of the United States
Click on "Create Polygon" at the bottom of the map. Then, click on the point of the map at which you want to begin drawing your selection. Below, you can see a small red dot below Omaha (top left) which indicates a click and the beginning of your selection
Move the mouse to your second point and click to set another anchor spot. Then, move your mouse to additional anchor points as appropriate, clicking when you are ready. Once you are satisfied with your selection, click your starting point again to close the shape
Your mouse will change to a hand, as seen below, confirming the shape is complete
If you click "Edit Polygon" you can move the shape around to a different area. You can also choose "Clear Polygon" to remove the shape and start over
When you are satisfied with your selection, click "Save Polygon"
Click "Save" to set your Segment filter
Name your Segment
Save your Segment and target it as you would any other Segment when sending Notifications