Go to your "Categories" area of your E-commerce module, and click add.

The path looks like this: YourDomain.com > Modules > Ecommerce: Products (mX) > Categories 

See screenshot:

The area looks like this:

Click on "Add Category" to create a new category.

Once you have 1 Category created you can "export to CSV" and create your Categories in a CSV file, then import them.  This is recommended if you have a large number of Categories.  Also you can Backup your Categories by exporting to CSV and saving the file on your Computer.

When you are on the add category screen you will be able to set the category name, whether its active, make a description for the category, add a picture that represents the category, Select where in the tree structure it appears and set any shipping restrictions.  You can also add products that will be included in this category.

See screenshot:

Notes:

• It is recommended to create your Category structure prior to adding products.  It is the organizational unit of your products.
• If you have a "category tree" displaying on your site anywhere, all of your active categories will automatically display in the category tree.
• Changes made to your E-commerce module don't need to be published they are live and active once saved.
• If you add an image to your category, you can display them with the advanced Category list frame in a very professional manner.