Permenant Categories ?

Hello everyone, just upgraded my blog from an old b2evo to the latest wordpress. My problem is that when I make my categories in the admin part, they dont appear on the list on my blog? But when I make a new post it comes appears under the list? So Im a bit confused, when I used b2evo, the categories I set was displayed on my blog, then if you clicked one it went to that categories page, with the posts for that category. And on the main page it just showed the latest post at the top, along with the category list to the right.
Is there any way I can do this with wordpress?

Any help would be greatly appriciated!