Currently you can not update the Category Catalogue directly from the Phone so for now if you want to modify the Catalogue or the Category definitions you'll need to ActiveSync the phone. From the application, see "Options -> 5 Update ->3 Update Category" for more information on where the configuration XML files are kept on your device.
Version 2.3: Catalogue Editor
Ability to Import/Export/Reorder/Delete Categories in the Catalogue
Version 2.4 Category Editor
Category Editor so you can add, delete, reorder, set defaults etc for a Category