Do you want a list of all of the categories that are on your blog that has a link to the category archive page?
CODE
<MTArchiveList archive_type="Category">
<a href="<$MTArchiveLink$>"><$MTArchiveTitle$></a><br />
</MTArchiveList>
This is what I use on
TheRedKitchen's sidebar. You can check it out and see if that's what you were looking for

Kristine