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Sail your fleet into a port and select that port to enter it (as player).
When you're in the main port-screen, you see your captain's portrait listed above the action-tabs.
Click at the captain and the fleet should show up at the right of the screen.
Click at a ship and next to its stats you see a ship-symbol with an hooked arrow on it.
Clicking at this symbol gives you the option to create a new fleet, or to move a ship to an existing fleet.

Thorin :)