You need to be an admin on the wiki. Go to the home view for Discussions. Click the categories filter and way at the bottom of the list should be a link to edit the categories. Click that.
As Solo789 said, to create a category page, just create it as you would any other page. However, start the page name with "Category:" and for the rest of the page name use the desired category name (case-sensitive). However, you don't need to create a category page to use the category.
To use a new category, just add it to pages as desired. Simply adding the category to a page will "create" it. That said, the category won't show in autocomplete features until the category page is created.