Try this:
public void ListCounters(string categoryName)
{
    PerformanceCounterCategory category = PerformanceCounterCategory.GetCategories().First(c => c.CategoryName == categoryName);
    Console.WriteLine("{0} [{1}]", category.CategoryName, category.CategoryType);
    string[] instanceNames = category.GetInstanceNames();
    if (instanceNames.Length > 0)
    {
        // MultiInstance categories
        foreach (string instanceName in instanceNames)
        {
            ListInstances(category, instanceName);
        }
    }
    else
    {
        // SingleInstance categories
        ListInstances(category, string.Empty);
    }
}
private static void ListInstances(PerformanceCounterCategory category, string instanceName)
{
    Console.WriteLine("    {0}", instanceName);
    PerformanceCounter[] counters = category.GetCounters(instanceName);
    foreach (PerformanceCounter counter in counters)
    {
        Console.WriteLine("        {0}", counter.CounterName);
    }
}
You have to be aware of categories that can have multiple instances and deal with those slightly differently.