On the Links page, http://agrilife.org/learnwordpress/intermediate/links/, we explained how to create Links.
Now, you may want to create Categories for the Links by using (on the left pane) Links>>Link Categories. Categories is useful for navigation, and allows you to group your links in a meaningful way (source: http://codex.wordpress.org/Links_Link_Categories_Screen )
You can add categories in 1 of 2 ways:
1. If you already have a clear plan in place on what categories you’d like to add your links to, on the left pane, click Links>>Link Categories.
2. Add the name of your new category. Edit the slug, if desired.
3. Click the Add New Link Category button on the bottom of the screen. Your new link category will appear in the table in the right column.