Visit your Dashboard, go to the "Courses", then go to the course you want to select and go to the category page.
Create Category
Right click on the “All Categories Root” option, three options will be displayed - “Create New Course Category/Sub-Category Under Selection” , “Rename Selected Course Category” and “Deleted Selected Course Category”.
Click on the “Create New Course Category/Sub-Category Under Selection” option.
Now, finally enter the name of the category and click on the “Update Categories” button. The category will get created.