I don't know what you mean here. Where do you need to put in the thumb nail picture? If you don't have any poster art, it will say retrieveing for the poster, but it should still work.
Categories are created by adding genres. Each genre will show up as a category in roksbox. If you are using Personal Video Database, after you open your video file, click on the pencil icon at the top of the screen, then put something in for genre. Whatever you put for genre will appear as a category in roksbox. Then your video with any poster art will appear under that category (genre). You can also have multiple genres for one video seperated by commas. Like Action Adventure, Fantasy, SciFi. This would show up as three seperate categories in roksbox. In your case, unfortunately, you can only have one level of category. I would just use Stargate as a genre (you know it is TV anyway, or you could call the genre TV-Stargate). That would create a category in roksbox called Stargate, and your episodes would be under that. If you have five different episodes, code each one with a genre of Stargate, and they will all show up in roksbox under the category Stargate. If you can find some poster art for them you can add that to PVD, and it will show up in roksbox. That would look real nice. Try to google poster art stargate.
Actually, I just tried this in PVD. When you open your video in PVD, type Stargate for the Original Title, and PVD will find a lot of stuff for it. You can choose the episode you want.