Hi,
In the categories module, you'll find the "menu" setting under the "hikashop options" tab. There you can select the menu item where you'll go when you click on a link of that module.
It means that you also need to select that menu item in the "menu assignement" setting of the module, or the module won't be displayed after you click on a link of that module.
Also, make sure that the "synchronize" setting of the module is turned off or the module will change its main category as the current category, and thus, if the current category doesn't have any sub categories, the module won't display anything.