Have you enabled color categories?  RIght-click the root of your folder
tree, click Properties, then click "Upgrade to color categories".

For instance, if there's a category "meeting" assigned to an appointment in
your project calendar then you can see the category name itself without
doing anything because the name is (also) stored with the appointment.

If you want to have a specific color assigned to that category, you need to
add the category to your Master Category List (which is not done
automatically if another mate created that appointment with a category that
is unknown on your computer) and choose a color. No one else of your team
members can see that color because it's not stored with the appointment. If
your mates want to see the same color, they have to do the same steps: Add
that category to their Master Category List (if not done already) and apply
the same color.

There're different ways to distribute a Master Category List - except the
colors. If you don't want to enter the colors manually you might try
Category Manager, please see the link in my signature.

For more details you migth also read "Import Categories" and "Synchronize
with a central list":
http://www.vboffice.net/workshop.html?pub=6&smp=1&cmd=showitem&lang=en