This may sound more complicated than it really is.

in admin -> catalog -> categories/products

Click on the New Category button and create your category.

One you have your new category, click on that category and your taken to a new page.

at the bottom of this page are two buttons (Back New Category) Click the New Cagegory button and create the category.

You now have a main category and a sub category.

To add products to the sub category click the name and your are taken to another page which has two buttons (Back New Product) click the New Product button and create your product.

You now have a Main Category -> Sub Category -> Product

As I said it sounds a lot more complicated than it is and after you've done it a couple of times it really is easy to do.