You can add a category set in the following way:
From Supervisor mode, select Categories from the left hand list. The list of category sets will be displayed in the right hand list.
Bring up the context menu by clicking the right mouse button anywhere in the right hand window. Select New… from the context menu. The Category Set property sheet is displayed.
Specify a name for the category set, for example, 'My Own Categories', and choose the data types to which the category set will be available. Press OK.