Categories are groups of distributions contained in folders.
Basic is the default category. It contains several of the most common distributions: normal, triangular, uniform, lognormal, yes-no, and discrete uniform.
All contains all distributions shipped with Crystal Ball, in unmodified form, including those also supplied in the Basic category.
Favorites is the default category for distributions that are copied or modified by users. For example, if you want to copy a triangular distribution from Basic and modify it, you could paste it to Favorites and change it there.
You can use the Categories menu to create new category folders for holding distributions. Then, you can use the Edit commands to add distributions to the new categories and modify them.