Thanks very much, but no, it wasn't that I was looking for.
I've managed to do what I wanted like this:
PHP Code:
$sql = "SELECT * FROM categories";
$result = mysql_query($sql);
while($row = mysql_fetch_array($result))
{
$catID = $row['id'];
$catTitle = $row['title'];
echo '<b>'.$catTitle.'</b><br />';
$sql2 = "SELECT * FROM links WHERE category = '$catID'";
$result2 = mysql_query($sql2);
while($row2 = mysql_fetch_array($result2))
{
$linktitle = $row2['title'];
$linkurl = $row['url'];
echo '<a href="'.$linkurl.'">'.$linktitle.'</a><br />';
}
}
Turned out to be pretty simple actually, I just wasn't thinking properly when I asked 
Thanks 
Craig.