I know I've posted this info somewhere recently, but can't find it now. Here it is again for easy reference:
To make a heading clickable, or to include a non-category link in the categories sidebox, add the HTML for the link to the heading define in categories_dressing_defines.php. For example:
This can also be done in a subtext define, to put the link directly below the specified category.
define ('CAT_BOX_HEADING_33_35','0|0|||<a href="yourdestination">Linked Heading</a>|3');//link in text heading - style 3