did you select the option to have the table created for you?
the products table that will be created by the wizard does not include a category column
The idea is to use a linking table to create a many to many relationship for the categories so that a product can belong to multiple categories.
you would create a category table:
and a productcategories table:
productcategoryID - primary key
productcategoryCategoryID - relates to categories.categoryID
productcategoryProductID - relates to products.ProductID
and use the manage relational table behavior for assigning the categories.
see the "Managing Relational Tables in Data Bridge" tutorial on the data bridge support page: