Drupal Tutorial : Administration : Categories & Comments
'Categories' menu allows you to to classify content into categories and subcategories; You can later add content under these categories. By clicking on the category icon next to each content item you can view all articles under that category. This is helpful if you want to let your visitors view articles/pages with similar content, for example.
'Comments' - with the default installation, only users that have logged in can access/post comments. This can be changed from (administer-> access control). The comments settings are self-explanatory and can be tuned from (administer->comments-> configure). By default, registered users can post comments (they don't need to wait for moderator approvals). If you want to let anonymous users post comments, please, go to (administer-> access control->comment module).