Navigation issues

http://vindico.d7m.net/ is the site. How do I add to the menu/navigation area where home and misc (formally uncategorized) are. I can’t for the life of me figure it out. Its been several versions of WP ago that I used WP. I decided to go back to it got 2.8, fresh install, etc.. and I remember back in the version I used before there was an option to do it in the Admin. But the only closest option I can figure out to be it is: admin > posts > categories. Which I add one or two there but they dont show up as navigation. What am I missing here? is there another option or way?