To create an event category, click on your organization's drop down arrow in the top left corner of the screen. Select the 'Account Settings' option shown below.
From the Account Settings screen, click the black 'Edit Settings' option on the right side of the screen.
From the edit account settings screen, select 'Calendar' on the left side, then select 'Add Category' in black on the right side of the screen.
In the new event category screen, name the new category and give a color that will populate on the calendar.
The new category will now be an option when creating a new event in the calendar.