"Deep loading" with LoadWith

Question

I have a table structure, each table with a primary key field named as "ID" and foreign key names matching their parent table's primary key. Therefore, the tables below have relationships where their primary key appears in another table and the first field in any table is it's primary key:

Category
--------
CategoryID
Title


CategoryList
------------
CategoryListID
CategoryID
ListID


List
----
ListID
Title


DataPoint
---------
DataPointID
RecordedDateTime


DataPointValue
--------------
DataPointValueID
DataPointID
TheValue

The above is a many-to-many join between Category and List, via CategoryList. It is also a one-to-many join from List to DataPoint, DataPoint to DataPointValue.

Using C#/LINQ and given a List of the CategoryID values, I would like to retrieve:

All the List entries attached to the Category I have ID's for. With those List entries, I would like to take the most recent 1 DataPoint, as ordered by RecordedDateTime Descending. From there I would like to retrieve every DataPointValue attached to the DataPoint.

The LINQ I have is:

DBDataContext context = new DBDataContext(ConnectionString);

        context.LoadOptions = new DataLoadOptions();
        context.LoadOptions.LoadWith<DataPoint>(p => p.DataPoints.OrderByDescending(p.RecordedDataTime).FirstOrDefault());

        // this next line is how I get the list of category IDs, but don't worry about that...
        List<int> categoryIDs = (from TreeNode n in nodes
                                 select Int32.Parse(n.Value)).Distinct().ToList();

        var lists = from i in context.List
                                         join ci in context.CategoryLists on i.ListID equals ci.ListID
                                         join p in context.DataPoints on i.ListID equals p.ListID
                                         join v in context.DataPointValues on p.DataPointID equals v.DataPointID
                                         where categoryIDs.Contains(ci.CategoryID)
                                         orderby i.Title ascending
                                         select new
                                         {
                                             List = i,
                                             DataPoint = p,
                                             DataPointValues = p.DataPointValues
                                         };

But this is obviously not working - the LoadWith is causing me issues. Could someone explain how to construct the LoadWith so that it will cause as few SQL queries as possible to retrieve this (admittedly large) amount of data, please?

Many thanks,

Matt.