I don't think you can change the orientation automatically, you can add a transform effect to the labels all in one go which should be easy enough.
Use the Direct Selection Tool to select all the labels.
Set the text alignment to either left or right depending on the direction you want the text.
Effects → Distort & Transform → Transform... Set the transform origin to the top right and a rotation of -90 degrees. You will need to set a horizontal and vertical amount to compensate for the change in position.
The only drawback is that the transform effect seems to disappear if you update the data in your graph. If you havn't set any other effects since you can easily reselt the labels and reapply the last used effect from the top of the effects menu though.
Setting up your data
In your data table, you use the first column for the category labels. Any data in the same row appears under the same category. If you only have one data set, you only use one column after the category labels. If you have multiple data sets you use a new column for each data set. You can name the data sets using the top row of each of those columns, Illustrator will generate a legend and color each data set.
That applies to column, stacked column, bar, stacked bar, line, area, and radar graphs.
Scatter graphs cannot have category labels as both axes measure values. Pie graphs also cannot have category labels as each new row defines a new graph.
Everything you need to know about creating graphs should be in the Illustrator help docs: