Show category with link

EDIT

You should look at get_the_category. You are probably looking for something like this as from the codex

   <?php
$categories = get_the_category();
$separator=" ";
$output="";
if($categories){
    foreach($categories as $category) {
        $output .= '<a href="'.get_category_link( $category ).'" title="' . esc_attr( sprintf( __( "View all posts in %s" ), $category->name ) ) . '">'.$category->cat_name.'</a>'.$separator;
    }
echo trim($output, $separator);
}
?>