When I first created my link directory I selected the option to hide empty categories. Now I want to show the empty categories. Can anyone tell me how to do that?

Please open the source code of your template (Preferences -> Link Directory Settings -> Link Directory Templates -> Edit -> Code) and find the following code snippet at the top:

hideEmpty="true"

All you need to do is change "true" to "false", save the changes and regenerate your link directory after that.