An Ensemble
This actually depends upon how many people you have, and what kind of instruments they are playing. A large group playing traditional European instruments is called an orchestra. A smaller group playing traditional European instruments is called an ensemble. A group playing more modern music is called a band.
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Instruments that are blown into are either woodwind instruments, double reed instruments, or brass instruments, with the single exception of a harmonica, which is in a class all its own.
What do you call a group of Dancers?
There are no specific occasions that call for harp. Outside of orchestras, harps are mainly used in small ensembles of traditional instruments, often for playing folk music.
Apart from the String instruments there are also the brass, woodwind and percussion families.