Here is how to change your categories.
Click Labels and then the 'Categories' sub-section will appear.
From there, you can see your lists of products and categories and create new ones by clicking on 'Create Category'.
Once the Create Category page loads, simply name your category, select a color code (you won't be able to select a color that is already in use), and select a language and type in the translated category (if applicable).
Click 'Save' and you're all set.