You should also read the actual Talent description as well (starting on page 48 and ending on page 49).
When you go up a level, if you are adding a new profession, it MUST be the first thing that you purchase with your DP for that level.
Once you purchase that new profession, your Favored Categories are now those of the new profession and you now have one level of development in that new profession (once the rest of your DP have been spent).
The next time you go up a level, you must decide which profession you are advancing in. And your Favored Categories will be the ones for the profession selected.
For example, your character is a Fighter (3)/Thief (1), which means that he is a 4th level character. When he reaches 5th level, he has to decide whether to advance as a Fighter or as a Thief. If he advances as a Fighter, then his Favored Categories for the level will be those of a Fighter. If he chooses to Advance as a Thief, then his Favored Categories will be those of a thief. Or he could decide to acquire another profession, and if so, then his Favored Categories for the level will be those of the new profession.
I hope that helps