I have no idea what a live category is, but live is modifying category in the same way that live modifies the word show in 'They performed a live show in front of 300 people. (noun acting as an adjective, noun possessing something) の (other noun).
せんたく is a noun meaning choice, selection etc. 選択する (せんたくする) is the verb form that means to choose. Sentaku, like other words that entered Japanese from chinese, because a verb when suru is added. To say 'please do something' in a normal, polite enough form (there are many ways to say this kind of thing besides this one), you put whatever verb you are using in the ~て form and add ください. noun + suru type verbs are conjugated by conjugating suru, which in this case changes into 'して' to form the て form. You then add ください and you arrive at what was said.
To recap=
anata no = your
raibu no kategori= live category
sentaku suru = to choose
sentaku shite kudasai = please choose
So, please choose your live category.