Formatting for Blogroll

HI there, I’m using the “links” feature for a blogroll on my WP set up. Works great.

It spits out code that looks like this:

<div id="linkcat-3050" class="widget widget_links">

<h3>FIRST CATEGORY</h3>
	<ul class="xoxo blogroll">
<li><a href="www.firstlink.com">SOME LINK</a></li>

…. And so on.

But I can’t see ANYWHERE where I can edit what that stuff does. Where the heck is this controlled? What if I wanted to spit out <h1> tags? What if I wanted to put a title at the top of the list? All i can do is move it around using this “widget” thing! Where is the actual code to do something with my blogroll?

Thanks!