Hello Caroline, this can be accomplished using the inherent WordPress menus feature under “Appearance.” This is the best and most up-to-date way for creating menus.
You would simply create a menu with custom links and add labels to them, which would be the names of the categories. Then you could go into your widgets settings and drag a “custom menu” widget to your sidebar or somewhere on your site, and select the menu you just created to show up there.