The filter that you see is not really a filter, it’s just menu links.
Each menu item such as the link that says “Support” will show posts that are in the “Support” category.
First go to WP > Posts > Categories and create a category called “Support”. Then add posts to that category.
Go to WP > Appearance > Menus and add the category called “Support” into your menu. Users will now see all posts of “Support” when they click that menu link.