Members with super admin access, or access to a super admin profile, have the ability to create new categories in the left hand navigation . To being, click on the pencil icon at the top of the left hand navigation to open the menu editor.
Click on the folder icon circled below:
Once you click on this icon, it will present a popup screen to create the new category.
Name the new category in the "name" field, then determine where in the left hand navigation the category should be placed. "Main Root" within the "parent" field indicates that this is not going to be placed inside/under an existing category (which is recommended). "Sort After" allows you to choose which category this category will be under.
Click on "save" and "save changes".