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I am trying to set up a personal website which I would like to consist of blog posts on one page and short stories on another, how do I set this up so I can post just to a specific page, for example if I write a blog post It shows in blog posts but not short stories and vise versa ?

That sort of describes what category pages do, and you don’t need to set it up, just put the categories in on the posts. Category pages are built in.
Just make two main pages, one for your blog and another for your short stories. When you’re writing, use a “Blog” or “Short Story” tag on each piece. Then, set up your pages to only show stuff with the matching tag, your posts will pop up exactly where they should!