In the browser or editor, select:
--> from the context-sensitive menu.
Name the category when prompted.
Once you have a category, you can add items to it by drag and drop, and also by double-clicking to add new items (only in the browsers).
You can also nest categories in other categories.
You can do this either by dragging and dropping a category into another category, or by right-clicking in an already present category and choosing the option to create a new category.