This can be done in two different ways, the first is to go to ULP Dashboard -> Courses -> Course categories as shown in the picture below.
Here you will have to add a Name and a Slug for your new category.
Make sure the slug is unique and all in lowercase characters with only letters, numbers, and hyphens.
You can also assign a parent by choosing a category from the drop-down list. This will create hierarchy, for example you can have the category Burgers be part of the category Food.
The second way to add a category is when creating or editing a course. When doing so, on the right-hand side menu you will have a metabox called Courses Categories, all you have to do is click on the Add new course category button, type in a name and then click on the button again.