The products_to_categories table is in your database ...

You can visually see it with phpMyAdmin from your Control Panel for your domain ...

The command I gave you just issues the command to take all of the products that are assigned to the categories_id 0 and set them all to categories_id 1 so that when you make your first Category and it is assigned the categories_id 1 all of the Products will be associated with it so you can Move them to new Categories that you will be able to create ...