I’ve figured it out, I used this code before the loop:
query_posts( array ( 'category_name' => 'my-category-slug' ) );
Thanks to: http://stackoverflow.com/questions/15017370/only-show-specific-category-in-wordpress-loop
For some reason the Codex telling me to use this didn’t work:
$query = new WP_Query( 'cat=3,8' );