Blogroll is a Link category. Of course, you can give a header title to the whole Link section (Blogroll) and then use the built-in Link Categories feature to create different link categories.
For adding ads – edit the sidebar.php in your theme.
Caoimhin, depending on what you want to do, you may not need to learn much PHP at all – just enough to work with the WordPress template system. Dividing your blogroll by categories can be accomplished using the wp_get_links tag, for one; and there are many ad systems that give you code that can just be dropped into your sidebar.
Try just browsing the documentation on Codex, particularly the Lessons section. Sounds like you might benefit from Stepping into Template Tags.
If you’re really just looking for a php tutorial, you could try the one on php.net.
