To build a categorical variable based on the values of other variables, first click the New Variable button and then select Build Categorical Variable.
This will open the variable builder which allows you to create individual categories based on the values of other variables. Click the Add Category button to add the category to the new variable. After you've finished adding all the categories click save to create the new variable. The variable is a derived variable which means that when the originating variables change, the new variable will automatically update to reflect those changes.