Assuming you’re dealing with a recent version of WordPress it should be pretty straightforward.
- In your WordPress admin panel, select Appearance->Menus.
- Create a new menu. In the current wordpress there’s a little plus sign at the top, enter a new menu name, and then click create menu.
- On the bottom left there should be a little widget titled Categories that has your categories. Drag categories from there to your new menu.
- Save the menu.
- In the upper left there’s a Theme Locations widget that allows you to select a menu.