WP THEMES PLUGINS WIDGETS

I have just set up a Blog for my True Ghost Stories site. However, I don’t know how to set the Categories. I want to removie the “Uncategorised” text and replace it with a list of categories (e.g. “Ghosts, Paranormal etc.). Anybody know how I can do this?

I have a website with piczo but its to confined of what i could do so can someone please help me!!!

When someone visits my site, I want them to directly view the content i.e. I want the files on my domain, not a subdomain like
www.mydomain.com/wordpress