OK It seems not the best way but here how I solved this...
Hope it helps others :)
protected void Page_Load(object sender, EventArgs e)
{
StringBuilder sb = new StringBuilder();
using (ProjectsDataContext dc = new ProjectsDataContext())
{
var categories = from cats in dc.Categories
select cats;
sb.Append("<ul id=\"sitemap\" class=\"sitemap\">");
foreach (Category c in categories)
{
sb.Append("<li><a href=\"ShowCategory.aspx?CategoryID="+c.CategoryID +"\">"+ c.Name+"</a>");
var subcategories = from subs in dc.SubCategories
where (subs.Category.Name == c.Name)
select subs;
sb.Append("<ul>");
foreach (SubCategory s in subcategories)
{
sb.Append("<li><a href=\"../ShowSubCategory.aspx?SubCategoryID=" + s.SubCategoryID + "\">" + s.Name + "</a></li>");
}
sb.Append("</ul></li>");
}
sb.Append("</ul>");
}
lala.Text = sb.ToString();
}