Adding a category to the DL manager is as simple as pressing the "add category" link in DL Admin screen. You will be taken to a new page where you can supply a title and a descriptive text for the category. You can also choose an icon to be displayed along with the category, as well as specify if it should rather be achild-category of another.
Access permissions will dictate who will see this category and are very important to set up correctly. If no groups are chosen then only admin will see it once you browse the DL manager section later on.
Editing a category can be done by clicking the tool icon right next to each category. Note that pressing the link will just take you into the files inside it - not to edit category screen.