There are two options to do this — one is based on the value and the other on the ID. Unfortunately MSDN doesn’t provide any help at all on the 2nd option.
Standard what (based on value):
<Where> <Eq> <FieldRef Name=”Category” /> <Value Type=”Lookup”>My category</Value> </Eq> </Where>
And by ID:
<Where> <Eq> <FieldRef Name=”Category” LookupId=”TRUE” /> <Value Type=”Lookup”>234</Value> </Eq> </Where>