What codes are you learning in wordpress?
Wordpress is CMS based on PHP and MYSQL. Your question is not related to coding. But i will clear your query.
Taxonomy is grouping mechanism for post and links or custom types post. While category lets group of your post to displayed in few category which is also included in tags.
You can view codes for taxonomy in wordpress themes file. Filename: Functions.php
If you are not good in coding taxonomy, i would suggest you to use plugins such as taxonomy manager and GD custom post and taxonomy tools for building taxonomies.