From Xojo Documentation
Segments is a Design-Time property that is used to created and edit individual segments.
Click the Edit button next to Segments in the Inspector to display the SegmentedButton Editor which you can use to add, remove, reorder, or edit segments. Use the Select checkbox to choose the segment that will be selected by default. In the illustration below, the second segment is selected by default. You can rename a segment by clicking twice on an existing segment to make it editable.