category order of the main (blue) menu- how can i control it???

Hey

i try to order the categories in any way i can (delete, rearange order i put them in... and so on) but nothing seems to get them change from the first time they were typed in. in the main (blue) menu i mean.
please help
Thanks!

appearence-> menus -> Create a Menu with pages in the order that you want (easy on page guide to do so).--> Top left of page should be a box called "Theme Locations". Select the "main menu" box and add your newly created menu to it.