if you want to exclude categories then you do need to create a custom query
something like this:
$page = (get_query_var('paged')) ? get_query_var('paged') : 1;
query_posts( array( 'category__not_in' => array( 2, 6 ) , 'paged' => $page ) );
just above the loop and change 2 , 6 to the category ids which you want to exclude , and to help keep pagination i would add wp_reset_query(); just after the loop to save later problems.
keep in mind that this is probably the simplest form of the query_post you need but if you want more out of its power take a look at the codex.
Hope This Helps