It's not listed under sideboxes or template alterations, but under other modules.
Categories menu - replace with ul/li
http://www.zen-cart.com/index.php?ma...oducts_id=1307

Be aware that this makes a single <ul> for all categories and subcategories, and does not distinguish between category levels except with the original a.category-top etc. selectors. Thus you will not be able to use it to apply CSS to category levels on a ul level basis.

Categories Dressing creates a correctly nested set of <ul> lists for all (known) permutations of category display.