You have a couple of options, here. Both should give you the same result.

CODE
<MTCategories>
<a href="<$MTCategoryArchiveLink$>"><$MTCategoryLabel$></a><br />
</MTCategories>
or
CODE
<MTArchiveList archive_type="Category">
<a href="<$MTArchiveLink$>"><$MTArchiveTitle$></a><br />
</MTArchiveList>
I use the second option, and include the correct tag to display how many entries are in each category:
CODE
<MTArchiveList archive_type="Category">
<a href="<$MTArchiveLink$>"><$MTArchiveTitle$></a> (<$MTArchiveCount$>)<br />
</MTArchiveList>
If you want to display categories that don't have entries assigned yet, use the
MTCategories option, but add in
show_empty="1" to the tag, that is
CODE
<MTCategories show_empty="1">
- but be aware that this will generate broken links for those categories until they have entries in them.
I hope that helps!

Post back if you have any more questions.