If i get groceries and prescriptions form the same store, how can quicken tell the difference?
Currently, it can't.
That's why quite a few others have asked for Quicken Online to allow "split" transactions that can record multiple categories for a single transaction.
How to ask a question.
http://support.microsoft.com/kb/555375
Correct that they don't currently have the functionality to easily split transactions.
Splitting them at checkout is a good method.
Another would be to recategorize to cash, then split it in your cash which has the same net effect on your spending, but incorrectly represents how the money got there. I played with it and got it to work however in the end we just decided to put our electric and gas (single payment) into the utilities instead of tracking the cost of each seperately.