> Is there any way to create a new category, and move some 
> downloaded sites (which aren't currently in a category) 
> into this new category?
Just select the project you want to move in WinHTTrack, 
change the category name, and in the last screen, 
select "Save settings only"

Note: The index will only be rebuilt NEXT TIME you mirror 
or update a project! I should fix this small bug soon.