Since you mentioned that it gets to the point where you enter the name of the category and then the file name - and THEN it just returns you to the main menu again saying that it is "your first time visiting.....", it leads me to believe that the .html and configuration files are not being created.
That is, when you login to uDirectory, uDirectory-Business will first look in the directory you configured as the "$relative_directory" for a file called "categories.txt" . This categories.txt file is generated the first time you create a category and then keeps a list of all the categories and file names. So if no "category.txt" file exists, it is assumed that it is the first time using uDirectory.
Just as a check, take a look in the directory that you specified as the $relative_directory and see if there is a file called categories.txt. Probably not.
Now, the reason the file is not being generated would probably be due to one of these things:
1) Is the $relative_directory correctly pointing to the directory where you want the HTML files generated? Remember to specify this relative to your CGI directory (something like ../listings/ ). Or better yet, the full path to the directory if you know it (something like /www/htdocs/listings/ or maybe on NT servers something like D:/mdir/listings/ )
2) Does the directory that you want the .html files created in have WRITE permissions? If using a UNIX server, you can use your FTP program to change the permissions to READ, WRITE, and EXECUTE (chmod 777) or if using an NT server, you may have to get your ISP to give the directory READ and WRITE permissions.