You need to create and edit an includes/modules/YOUR_TEMPLATE/category_row.php file by removing the text marked in red below (lines 38-39)
$list_box_contents[$row][$col] = array('params' => 'class="categoryListBoxContents"' . ' ' . 'style="width:' . $col_width . '%;"',
'text' => '<a href="' . zen_href_link(FILENAME_DEFAULT, $cPath_new) . '">' . zen_image(DIR_WS_IMAGES . $categories->fields['categories_image'], $categories->fields['categories_name'], SUBCATEGORY_IMAGE_WIDTH, SUBCATEGORY_IMAGE_HEIGHT) . '<br />' . $categories->fields['categories_name'] . '</a>');