Took Mohammed's script a little further to include the parent category name and to deal with childless parents.
SELECT p.Name AS Category, i.Name AS Parent, o.Name AS Item
FROM [ProcessManager].[dbo].[ HierarchyCategory] AS p INNER JOIN
[ProcessManager].[dbo].[ HierarchyItem] AS i ON p.HierarchyCategoryID = i.HierarchyCategoryID LEFT OUTER JOIN
[ProcessManager].[dbo].[ HierarchyItem] AS o ON i.HierarchyItemID = o.ParentHierarchyItemID
ORDER BY Category, Parent