WordPress builds your category pages for you. You do not need a plugin or need to do anything other than give each post a category when you edit it.
This plugin may help move your content into WP:
These forums were CLOSED to new posts on November 19th, 2012. New forums are here: http://www.studiopress.com/forums/
and you will need to SIGN UP AGAIN.
If you need assitance with setting up your theme, go to http://my.studiopress.com/
and read the SETUP links or the TUTORIALS link on the side tab.
If you need Account Assistance
, file a help desk ticket at the same location.