Group schemes are (usually?) considered over some fixed scheme $S$. A finite group scheme $G$ is a group scheme which is finite over $S$, which is not the same as being of finite type over $S$. It means that locally, e.g. for $G=\operatorname{Spec}(A)$ and $S=\operatorname{Spec}(k)$, the ring $A$ is finitely generated as a $k$-module. If $k$ is a field, it means that $A$ is a finite dimensional vector space. Hence if $S$ is the spectrum of an algebraically closed field, then the condition immediately implies that $G$ is a finite set of points when considered as a variety.
does finite group scheme have relation with group?
Yay for Algebraic Geometry. Of course it does! A group scheme is a generalization of a group. Take my example above, i.e. assume $S$ to be the spectrum of an algebraically closed field and view $G$ as a $k$-variety. Then we can identify $G$ with its closed points and the scheme morphisms that give it its group scheme structure also turn this set of closed points into a finite group.
An example of a non-abelian group scheme is therefore easily constructed from a non-abelian group. Embed $\mathfrak S_3 \subseteq \Bbb C^{3\times 3}$ as permutation matrices and let $I\subseteq\Bbb C[x_{ij}\mid1\le i,j\le3]$ be the ideal with $Z(I)=\mathfrak S_3$. Then, $I$ also defines a closed subscheme $G$ of $\Bbb A^{3\times 3}$ which becomes a nonabelian group scheme by restricting the matrix mulitplication morphism to it.