Customized navigation = categories problem

I’m trying to integrate my layout into wordpress and I ran into a big problem. When I edit my sidebar template I want my links to look like this:

<div class="nav">

<h2>Categories</h2>

<ul class="nav">

<li><a href="#">Uncategorized</a></li>
</div>

But I’ve no idea what to do with this

<?php wp_list_categories('show_count=1&title_li=<h2>Categories</h2>'); ?>

<?php /* If this is the frontpage */ if ( is_home() || is_page() ) { ?>
<?php wp_list_bookmarks(); ?>

I only added the <div> tags and when I viewed my page’s source it showed:

<div class="nav">

<li class="categories"><h2>Categories</h2><ul>	<li><a href="http://rock-kitty.net/wordpress/?cat=1" title="View all posts filed under Uncategorized">Uncategorized</a> (3)

</li>
</ul></li>
<li id="linkcat-2" class="linkcat"><h2>Blogroll</h2>
	<ul>
<li><a href="http://www.alexking.org/">Alex</a></li>
<li><a href="http://inphotos.org/">Donncha</a></li>
<li><a href="http://dougal.gunters.org/">Dougal</a></li>
<li><a href="http://photomatt.net/">Matt</a></li>
<li><a href="http://zengun.org/weblog/">Michel</a></li>
<li><a href="http://zed1.com/journalized/">Mike</a></li>

<li><a href="http://boren.nu/">Ryan</a></li>

	</ul>
</li>

</div>

So, my question is, how can I edit that? And where is those “categories” and “bookmarks” files?
If anyone can help me, please reply ASAP!

Thanks!!!