How can I display link category

Try the “wp_list_categories” tag.

<?php wp_list_categories('orderby=name'); ?>

Here’s more in the WordPress Codex on its usage.

If you want to list only certain categories, you can use the include/exclude arguments.

Hope that helps!
Derek M.

I think you are looking for

wp_list_bookmarks() and will want to use the category name parameter.

http://codex.wordpress.org/Template_Tags/wp_list_bookmarks