A topology on a group is required to be compatible with the group structure (multiplication must be a continuous map $G\times G\to G$ and inversion must be continuous). I've only ever seen the discrete topology referenced on finite groups, however (as e.g. subgroups of continuous matrix groups).
Why isn't there any interest in nontrivial, nondiscrete topologies on finite groups? Is it because they are easy to classify, their study reduces to other areas of mathematics like graph theory, or that they haven't seen any external purpose elsewhere?
Surely these topologies exist. For a subgroup $H\le G$ we can set all cosets of $H$ to be a base. We can speak of generating (group-compatible) topologies from subsets $X\subseteq G$; let the topology $\tau_G$ be the collection of all left and right translates of a given collection of subsets, as well as their unions and intersections (which will obviously be finite), and then their translates, etc. (this process will surely terminate because it acts like a monotone function being applied to the double power set $\mathcal{P}(\mathcal{P}(G))$.)
Then we can ask for sufficient and necessary conditions for a family of subsets to generate the discrete topology. Other potentially interesting questions and answers: for a given family or handful of finite groups, we can ask for classification of their admissible topologies. So I for one think there are potentially interesting questions about nontrivial nondiscrete finite group topologies, but there does not seem to be any theory about it $-$ is there something I'm missing?
Recall that a topology is completely determined by the closure relation. Let $G$ be a finite group with some topology and let $G_0$ be the closure of the identity. Then $G_0$ is a normal subgroup. Moreover, the closure of any finite subset of $G$ is the union of the corresponding translates of $G_0$ (since this is a closed subset contained in the closure). Consequently, the topology on $G$ is completely determined by $G_0$. In other words, studying nontrivial topologies on a finite group is equivalent to studying normal subgroups.
In general, if $G$ is a topological group and $G_0$ the closure of the identity, then $G_0$ is a normal subgroup and $G/G_0$ is the universal Hausdorff topological group into which $G$ maps. (Recall that as Hagen mentions in the comments, for finite spaces Hausdorff is equivalent to discrete.) So the study of topological groups reduces almost immediately to the study of Hausdorff topological groups.