To make a category, first navigate to the Inventory => Categories section of the admin. Hit the "New Category" button. Options will appear to the right. Here, define the name, select the parent category (if there is one), and select a product type to be used for the category. This will dictate what items can be imported into the category. 

You can also select other options for the category here, or do so later. Once finished, hit the Create Category button. Then you can reorder the category by clicking and dragging on the up/down arrow and placing the category where you would like.