In the theme you cannot have categories in the drop-down menu - you can only have pages.
On my blogs I set up a page and then define other pages with the first page as parent. E.g. see here: http://www.aquoid.com/news/
. I have a page called "Tutorials". I have another page called "WordPress Theme Options", and the parent for this page is "Tutorials". I then have "Some Ideas", "Getting Started" etc. as some more pages, with parent "WordPress Theme Options". Once you have set this kind of a structure, you can go to the Navigation bar setup and select which pages you want to show in your navigation bar.