Chilli Classifieds is a very well written piece of software, but is has no admin feature whatsoever.
To set up your categories, according to the instructions, you have to edit one of your CGI files to get the category listings up and working. You have to search for a certain line and replace variables with your categories and subcategories, then you have to copy/paste this into several other files. Not to mention that their example and their way of dividing the forums up is confusing.
Most of the other features (banners, etc.) require some sort of cgi editing also.