Hello,
as regards the JoomSEF extension, you need to install it through JoomSEF - Extension Management.
The text on the Control Panel is wrong - that is bug; it will be fixed in the next release that would be available this or the next week.
What do you mean there are no options to enter categories. You can create those as "folder" when you enter the "Document". We tried to siplify this, so you can sort documents into folders, that act in the same way as categories.