I can tell you why their is a text link under your images, but I do not know how you added the category box like that. By looking at your html source code I see using your "Off To Bed" as an example:
<div class="categoryListBoxContents" style="width:33%;"><a href="http://www.kiddykool.com/index.php?main_page=index&cPath=65"><img src="images/offtobed.gif" alt="Off To Bed" title=" Off To Bed " width="200" height="200" /><br />Off To Bed</a></div>
If you remove the:
before the closing div the test link would be eliminated.
I only started using Zen a short while ago and am unfamiliar if that category display is part of Zen. As the "categoryListBoxContents" class is part of the Zen css stylesheet I assume you did not create them with the "Define Pages" editor. It probably needs a variable commented out somewhere.