To add a categorical dropdown to a dashboard, you need to select "Add Control" from the dashboard side menu and then choose the "Dropdown".
For the purposes of this example, a quick search of the schema will demonstrate that the Company field resides on the Users table. To create the filter, simply drag the company field into the dimensions box and select "Run Query". Assign a name to the filter (we suggest "Company") and leave the remaining configuration steps alone (1. Data type: Text 2. Multi-select checked ON, and 3. Empty state default to: Show all (values)).