go to object mode, create the parent object (this may only be an empty anchor object) and then add your children on the right side. the whole object may then become a child of another parent object and so on...

Okay, thanks. Now what if I want to add specific glow effects to powerups, can their color or effect be changed?

Powerups are chosen based on game logic. If you place a powerup object, the game will decide what it is.

Right, but you attach it to a hollow parent object right?

Okay, thanks.