But you don't categorize pages. ;)
You can place the category archives links in the nav bar, and there are two. One thing I would suggest is mapping out (on paper, in some diagramming tool) how you want your site content organized, then work from that. You may decide you need broader categories or more sub categories, or no vertical nav but a horizontal one in the sidebar.
All of this is possible. And fairly easy right out of the box.
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.