I was a bit disappointed yesterday after installing version 2.0 of Windows Live Writer that it didn’t give me the ability to create new Pages or to add Categories from the interface in WLW. So this morning I went to the WLW MSN Group and joined it where I found a thread describing the same problem I was experiencing. I added my confirmation of the problem to the thread and later this afternoon, I went back there and found that Joe Cheng of Microsoft had posted the solution.
First you must be using version 2.2 or above with WordPress for this to work. Then in order to add this functionality to WLW, you must go to Weblog | Edit Weblog Settings | Update Account Configuration. Once that process is complete, the new functionality will be there.