Hi,
When you click on a product/category of a module, the system will display the element(s) on the main area of your website. It will also set the current menu item to what you configured in the "menu" option of that module (via the menu Display>Content menus).
So in that option, you need to make sure that you configured a categories listing menu.
Also, once you are on that new menu item, the modules on the left will only display if you configured their "menu asignment" option to display on that menu item that you selected in the "menu" option of your module.