Since you are self-hosted, you need to inquire over at http://wordpress.org/support/ for problems since the software, and options we have here are different and far more restrictive. We could end up giving you the wrong answer since your software works differently.
I have added categories into my widgets and had a read of the link you supplied me. Still, everything seems to be ok from the ‘behind the scenes side’ (as i said, I have added everything i want to appear), but it just isn’t showing up on the blog.
This is very frustrating, as its my first time with a blog and the simplest things are making obstacles.