How to add custom links to menus

I have done several searches trying to figure out how to do this, but I am completely stumped. How do I add categories, tags and custom links to my navigation menu? Right now I am manually creating these links by adding a home page and editing the URL and Name. There has to be an easier way.

I looked at the documentation here: http://codex.wordpress.org/Appearance_Menus_SubPanel#Categories but my Menu control panel does not have any of those options other than “Pages”. How do I add the other widgets mentioned in the page? Is that a plugin I need to enable?