Category Links

Hey all,
I tried to get it working myself, and tried looking for a plugin but couldn’t find any how to’s on it.
On my website,I’m trying to link categories in the nav bar on the top.
http://reviewtheory.com
I want it to say Home About and then my categories,but I have no idea how to go about doing it.

Is there a how to I might have overlooked or a plugin that might be able to do this?