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>