You can add a category to a category set in the following way:
Expand Categories in the left hand list and select the category set to which you wish to add the category. 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 property sheet is displayed.
Specify a name for the category, for example, 'Prospect'.
If the category is a public category then ensure that 'No Owner' is selected in the Owner drop down list. If you wish the category to be private to a particular user then select the relevant user from the Owner drop down list.
Finally select the category set to which you wish to add the category and press OK.
For more information, see Using Categories.