Basic categories question

Apologies in advance (total newbie question). I got my blog up and running, made a post, added categories and I want to edit the post to add categories. Should be simple, right? But clicking the little “categories” bar doesn’t seem to do anything. I can move it around but can’t get a menu option. (If it’s not clear what I’m talking about – it’s the box with the big arrow pointing to it in the screenshot here: http://img59.imageshack.us/my.php?image=untitledev8.jpg)

Did I miss something during my setup to activate these boxes?

Thanks for any help! I searched the forums but didn’t find a topic for this specifically.