So the correct procedure is this:
1) import sample sql file first to an empty database
* i did it by using ssh then do mysql -uYourUsername -pYourPassword YourDataBase < magento_sample_data_for_0.7.15480.sql
* Or you might be able to use phpMyAdmin. But since sql file is over 2 megs, it might time out. In which case, phpmyadmin has the option so you can break down the sql into multiple chunks to prevent timeouts so you should look for that in the import section.
2) Install Magento
* Just standard procedure install.
Now here is a step I did not know about and this would help some of you who are scratchting there heads as to, “Why categories not showing up on the site?”
3) Login to Admin and then go to Configuration -> Catalog ->
Now, it will show Root Category dropdown as blank.
Select to Root Category.
And you should be good to go!