Categories are used to group pages.
To make a category, first create a new page for it. By convention, it should be named "Category X" (where "X" might be "Home Page", "Question" or whatever word or short phrase describes the category). When creating the category page, start it off with the "Category Template".
To add a given page to that category, simply place a link to the category page within that page (normally these go at the bottom, such as the "Category Forum Help" link on this page). That's all. If you then check back at the category page you'll see the other page listed.
You can create as many categories as you want, and pages can be in any number of different categories (just create a link to each category page).