The next step in organizing the content of your website is creating a category. This can be accomplished from the Content menu -> Category manager:
There you will be able to see the existing categories, edit them and create new ones. Click on the New icon to start the creation process and fill in the details required for the new category.
In order to have a proper content organization it is important to select the parent Section for the new category.
Again, you can set the menu linking details after the category has been saved.
Please note that an empty section or an empty category will not show up in the menu. Each of them must have at least a single content item created and published.