Show all Categories and Listings on Index

[Stilgar]

I would like to show all the categories and listings on the main (index) Links page. Like so:

Category 1
-link 1
-link 2
-link 3
-link 4
Category 2
-link 1
-link 2
-link 3
-link 4
Category 3
-link 1
-link 2
-link 3
-link 4
Category 4
-link 1
-link 2
-link 3
-link 4

I've tried many things, but I can't get this to work. What settings do I need to alter?

TIA!