Go to Knowledgebase page from back-end and follow Knowledgebase Categories link that will take you to the Knowledgebase Categories page where you'll click the New toolbar button.
Knowledgebase Categories page
Once you are on New Knowledgebase Category page, you need to specify the name of category, parent category and a comment to help you for a later management. Click Save and your KB category is created.
New Knowledgebase Category page