Add your link in /includes/templates/your_template/sideboxes/tpl_categories.php, immediately after this line:
PHP Code:
  $content .= '<div id="' . str_replace('_', '-', $box_id . 'Content') . '" class="sideBoxContent">' . "\n"; 
PHP Code:
  $content .= '<a href="index.php?main_page=page_2">Custom Page</a>';