How do I link categories and products from the store to blog posts?

To link an entry, go to the module settings and the "Main configuration" tab:




Then go all the way down to the "Settings of the associations" section:




There is an option here to enable linking an entry to products, categories and CMS pages using tags. E.g.: if you enable links to product pages, entries that contain the same tag as a given product will appear on that product's page.