I am following instructions on setting up slider: I enabled the slider but under Slider category I just have Uncategorized and that’s it. Instructions say to select “Categorized” and how do I add my images? Also, it says: Make sure you have Featured Images selected for those Posts. I don’t see anything under theme options -> Main that says featured images?
I am using WordPress 3.9
I see that you are having a hard time with WordPress itself.
Categories are used for your posts, default one is Uncategorized if no other categories are created. When you add/edit posts you will notice a category widget on the right side where you can create new categories. They are not created automatically and you need to create them on your own. Then you will be able to choose the right category that will be used for slider.
Featured images are images that appears above the post (not inside content). You can add theme when editing/adding article. You will see a widget on the right side (somewhere below Categories widget I mentioned above). There you should select your featured images for each post.
You can read more about them: http://en.support.wordpress.com/featured-images/
Since you are completely new to WordPress, I strongly recommend to watch some online tutorials such as http://www.lynda.com/WordPress-tutorials/WordPress-Essential-Training/154417-2.html