Hi, Jennifer. When a category you need doesn't exist, it's important to see what categories are already there. I took a look at a high level category called Ships, which contains a good bit of documentation. Beneath it are subcategories for ships to major areas of North America, which are also well documented.
There's nothing for Canada, so you'll probably want to create a category called Canada Settler Ships. I notice that the lower-level categories under the other subcategories all take the form "Ship Name", sailed "Year".
So now the easiest way to proceed, assuming you know the name of the ship and when it sailed, is to put [[Category: (the name of the ship), sailed (year)]] on the profile. That will show up as red because the category doesn't yet exist. Click on it and add at the top of that page [[Category: Canada Settler Ships]]. This also will show up red when you save it because it too is a new category. Click on it and add at the top of its page, [[Category: Ships]]. That category already exists, so now your job is done.
If I missed appropriate categories that already exist, or am leading Jennifer astray in some other way, others please chime in!