You set a daily budget at the campaign level of your account. All Ad Groups (and their keywords) running in that campaign will run under the specified daily budget.
Within one campaign, you may create 100 Ad Groups, and between them they may have 2000 keywords - again, all running under the same budget.
So it is wise to create a campaign which is in line with your desired daily budget. As a rule, the smaller the budget, the fewer Ad Groups and keywords it will support. Your account will give you tools to evaluate all of these things, and adjust at will.
AWA