To filter contacts by email engagement, first go to Contacts, then click on the Filter icon next to All Contacts.
When you're searching or filtering contacts, use the Message filter to sort based on how contacts have engaged with your messages.
Click Choose Email and the Message Library will open up.
Choose a template if you want to filter based on contacts' engagement with any email created from that template (i.e. Search all Contacts who've opened any email created from your Newsletter Template).
Choose an email instance from non-template tabs of your Message Library if you want to filter based on contacts' engagement with that individual email only (i.e. Search all Contacts who've clicked on a link in a particular instance of your Newsletter).
From there you can choose to filter by:
Didn't Click Link
Didn't Open Attachment
By filtering contacts by email engagement, you can now create a group and follow-up with them specifically based on your needs.