To create a new category, navigate to the general tab of your company settings. Scroll to the bottom of the page until you come to your company links.

Click create category. A new window will appear. From here, enter the category name. Hit save when you're done - your new category will then be added under the links section on the general tab and you can start adding links under it. 

To add a new link under a category, follow the steps outlined here.