Search the Plugins for categories dressing. Also, Zencart uses a standard method for assigning class and id names, even though not all are included in the default stylesheet, so if you want to change the Categories sidebox, you would look for/add #categories in/to the stylesheet, and for the heading, #categoriesHeading.

As always, installing the Firefox browser and the Firebug or Web Developer plugin for Firefox make finding stuff like this easy.