Note: you can automatically set categories using email rules (aka mail filters). ⇒ Click "Rules" in the Home tab, and select "Create rule".
⇒ Click "Advanced Options".
⇒ Pick a condition (or none to apply to all incoming mail), and click Next.
⇒ Check "Assign to it the [...] category", and pick a category at the bottom.
⇒ Click Next, optionally pick choose exceptions, and click Next again.
⇒ Meaningfully name your new rule and click Finish - as long as it remains on, matching messages will automatically be categorized!
Tip: as the standard Office 2010 shortcut to show/hide the Ribbon, Ctrl+F1 is not available.