What I think the original poster was asking was how to change the links to something else.
For example, by default it links to ?cat=1,?cat=2 but if you want to make it something else, load your header.php file and change this code:
<li class="bk1"><a href="<?php bloginfo('url'); ?>/?cat=1">Category 1</a></li>
<li class="bk2"><a href="<?php bloginfo('url'); ?>/?cat=2">Category 2</a></li>
<li class="bk3"><a href="<?php bloginfo('url'); ?>/?cat=3">Category 3</a></li>
<li class="bk4"><a href="<?php bloginfo('url'); ?>/?cat=4">Category 4</a></li>
<li class="bk5"><a href="<?php bloginfo('url'); ?>/?cat=5">Category 5</a></li>
<li class="bk6"><a href="<?php bloginfo('url'); ?>/?cat=6">Category 6</a></li>
<li class="bk7"><a href="<?php bloginfo('url'); ?>/?cat=7">Category 7</a></li>
