GT,

First of all, I'm guessing you're using a select query to populate the
parameter list.
Simply do a "distinct" in that query.

Example:
Select distinct catagory_name from sales_orders

For the second question; have you included the paramater name in your query?
For example, if you have a parameter with catagories, and you want to filter
on this, you would have to alter your query to

select * from sales_orders where catagory_name in (@name_of_your_parameter)

(Note, this is for a multi-value parameter)

Good luck, Rob