first you need to make a page, after you've made it scroll down and there should be a field called "Categories", add the categories you want the page to be in and it's done (this doesn't work for making categories you don't want the page to be in though)
To do this, start a new page — called Category:Name — in any of our editors. Add a sentence or two which explains what the category is about. Then add the page to another category that has already been created.
Name would be replaced by the title of the category you are creating.
I am not sure how you are trying to add the category but all of the methods I know of should let you do it even if the category can't be found. You are supposed to be able to use a given category even if you haven't created the page yet.
Okay. When adding a category using the category box at the bottom of a page, it should come up with a list of suggestions based on the created category pages. However, even if it doesn't show, you can still add it. Just continue until you have typed the entire name and then hit the return/enter key on your keyboard. For example, if the category page you created was "Category:MyFirstCategory", then, when trying to add it to the page, type "MyFirstCategory" and then hit the enter key. To save the change, I believe there is a save button or something you need to click as well.