Description
This expression will capture the title of the section and the href & title of each link. I left this as a multiline expression to help with readability. The multiline regex does require the x ignore whitespace in pattern option
<b>[\w\s]+:\s*<\/b>.*?
<a\b(?=\s)
(?=(?:[^>=]|='[^']*'|="[^"]*"|=[^'"][^\s>]*)*?\shref=('[^']*'|"[^"]*"|[^'"][^\s>]*))
(?=(?:[^>=]|='[^']*'|="[^"]*"|=[^'"][^\s>]*)*?\stitle=('[^']*'|"[^"]*"|[^'"][^\s>]*))

Expanded
- <b>[\w\s]+:\s*<\/b>.*?finds the catagory header and captures the text before the- :
- <a\b(?=\s)match the open anchor tag
- (?=(?:[^>=]|='[^']*'|="[^"]*"|=[^'"][^\s>]*)*?\shref=('[^']*'|"[^"]*"|[^'"][^\s>]*))collects the href value, note the additional fluff here is to prevent odd edge cases and allows the attribute to appear in any order inside the tag
- (?=(?:[^>=]|='[^']*'|="[^"]*"|=[^'"][^\s>]*)*?\stitle=('[^']*'|"[^"]*"|[^'"][^\s>]*))collects the title value, same fluff as in the href match above
PHP Code Example:
Input Text
<div class="sms-separator"></div>
<div class="wallpaper-ads-right">
  <b>Wallpaper:</b> 
     Rayman Legends Game sms<br />
  <b>Categories: </b>
     <a href="/games-desktop-wallpapers.html" title="Games wallpapers"> Games</a>
  <br /><b>
<div class="sms-separator"></div>
 <div class="wallpaper-ads-right">
    <b>Wallpaper:</b> 
      Souya ssss<br />
    <b>Categories: </b>
      <a href="/soutss-tourguides" title="Tour"> Tourist</a><br /><b>
Code
<?php
$sourcestring="your source string";
preg_match_all('/<b>([\w\s]+):\s*<\/b>[\s\r\n]*?
<a\b(?=\s)
(?=(?:[^>=]|=\'[^\']*\'|="[^"]*"|=[^\'"][^\s>]*)*?\shref=(\'[^\']*\'|"[^"]*"|[^\'"][^\s>]*))
(?=(?:[^>=]|=\'[^\']*\'|="[^"]*"|=[^\'"][^\s>]*)*?\stitle=(\'[^\']*\'|"[^"]*"|[^\'"][^\s>]*))/imsx',$sourcestring,$matches);
echo "<pre>".print_r($matches,true);
?>
Matches
$matches Array:
(
    [0] => Array
        (
            [0] => <b>Categories: </b>
     <a
            [1] => <b>Categories: </b>
      <a
        )
    [1] => Array
        (
            [0] => Categories
            [1] => Categories
        )
    [2] => Array
        (
            [0] => "/games-desktop-wallpapers.html"
            [1] => "/soutss-tourguides"
        )
    [3] => Array
        (
            [0] => "Games wallpapers"
            [1] => "Tour"
        )
)