How about: Select the appropriate column for the first category. or Select in which column the first category must be placed. I think your original sentence would be grammatically correct, but awkward, minus the final in .
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Rishonly"P.S. the context is that people have to select a column from a dropdown menu, in which the first category will appear."Thnx for the tip ;-)
Just my two cents. A dropdown menu would normally contain values listed one after another, not columns.So, I am wondering the usage of 'select a column from dropdown menu'.