Web Categories are the categories used on the website where the store is using it's own website. You create the Web Categories, then add the products to those web categories.
You can add to the already existing categories
OR
If you haven't already created any Web Categories you can now start by creating the Parent Category and all of the child categories to go under that.
What is a Parent Category?
Answer: a parent category is the category to which the sub category or child category lives under.
i.e.
A parent category is Pens
A child category or sub-category could then be Ballpoint Pens
Looking like this
How the Web Categories are used - and how they are different from Product Categories and Price Categories.
How to plan the structure of the Web Categories tree?
Should I utilise my head office's category tree or my own web categories?
Can website categories be changed?