composite key as foreign key

You can use either fluent API:

public class Category
{
    public int CategoryId1 { get; set; }
    public int CategoryId2 { get; set; }
    public string Name { get; set; }

    public virtual ICollection<Product> Products { get; set; }
}

public class Product
{
    public int ProductId { get; set; }
    public string Name { get; set; }
    public int CategoryId1 { get; set; }
    public int CategoryId2 { get; set; }

    public virtual Category Category { get; set; }
}

public class Context : DbContext
{
    public DbSet<Category> Categories { get; set; }
    public DbSet<Product> Products { get; set; }

    protected override void OnModelCreating(DbModelBuilder modelBuilder)
    {
        base.OnModelCreating(modelBuilder);

        modelBuilder.Entity<Category>()
            .HasKey(c => new {c.CategoryId1, c.CategoryId2});

        modelBuilder.Entity<Product>()
            .HasRequired(p => p.Category)
            .WithMany(c => c.Products)
            .HasForeignKey(p => new {p.CategoryId1, p.CategoryId2});

    }
}

Or data annotations:

public class Category
{
    [Key, Column(Order = 0)]
    public int CategoryId2 { get; set; }
    [Key, Column(Order = 1)]
    public int CategoryId3 { get; set; }
    public string Name { get; set; }

    public virtual ICollection<Product> Products { get; set; }
}

public class Product
{
    [Key]
    public int ProductId { get; set; }
    public string Name { get; set; }
    [ForeignKey("Category"), Column(Order = 0)]
    public int CategoryId2 { get; set; }
    [ForeignKey("Category"), Column(Order = 1)]
    public int CategoryId3 { get; set; }

    public virtual Category Category { get; set; }
}