Wordpress calls the main category a Parent Category. When you create a new category it will ask if you want to assign a Parent Category to it, in this case you would select the Womens Clothing as the parent category.
Not all free WP themes support subcategories, so you might need to play around with the design a little or change the sidebar coding in your chosen theme.
I usually opt to have the category list displayed as a drop down menu when it's going to be lengthy and contain several subcategories. They seem to display better that way.