Go to Catalog > Filters and select Insert to create a filter group. Assign a filter group name (e.g. Color) and add filter name values (e.g. Blue, Red, Yellow).
Go to Catalog > Categories and Edit a category. Under the Data tab add the filters you want to be able to apply to that category (e.g. Color > Blue, Color > Red).
Go to Catalog > Products and Edit a product. Under the Links tab add the filters which apply to the product (e.g. Color > Blue). Apply to as many products as applicable.