2
If you are looking for an admin-side list of links (like you get with news stories in the news module), the links module doesn't do that.
It's easier to manage MyLinks directly from the user side where you have access to the categories and their contents. If you are logged in as admin you get a little red edit icon next to the title, so you don't need to know ids etc.
Apart from that, I suggest installing PHPMyAdmin module, which allows you to work directly on the database, and use some basic SQL filtering.
No nice solutions I'm afraid.
A doc for this module has been written, it is being marked up at present.