How to make link to different categories that in them selves loads different menus?

Once the category is selected it would be pretty easy with the help of wp_nav_menu to check what category is currently selected using is_category and then load the menu you need. This would be defined in your page template or header (depending on where your menu is loaded)

if (is_category('category 1')) { 
    wp_nav_menu( array('menu' => 'category1-nav') );
} else if (is_category('category 2')) { 
    wp_nav_menu( array('menu' => 'category2-nav') );
} else if (is_category('category 3')) { 
    wp_nav_menu( array('menu' => 'category3-nav') );
}

You will need to define the different menu’s in your functions.php like this :

register_nav_menus( array(
'category1-nav' => 'Category 1 Navigation', 
'category2-nav' => 'Category 2 Navigation',
'category1-nav' => 'Category 1 Navigation'
) );

Once you’ve defined the menu’s you can set them up under Appearance > Menu’s in the admin area.