The word "Blogroll" will generally not be in your theme files anywhere.
Instead there will be a php function used to list the default link category as you have named it from within wordpress. This is so that if you change the name of the link category later, as suggested above, the name on your file will change without you doing anything.
In most themes, this is in the sidebar.php file. Open that, and look for something like <?php wp_list_bookmarks(); ?>. It looks like that will be inside a div with the class "sidebar sidebarright", just below an unordered list with a php call in it to list some categories (<?php list_cats(); ?> ... perhaps?). Sometimes theme developers hard code the title in just above that, and hopefully you would be able to figure that out by looking at it.
Before doing anything to the files on your site, make sure you are actually looking at theme files. They will NOT be the .php files in the root of your wordpress installation. They are in whatever_you_named_your_wordpress/wp-content/themes/whatever_you_named_your_theme. You can edit them through the theme editor (under appearance) provided you are an administrator and have made the files writeable on your server.
Also, in a preview of the theme, it is unlikely that all data is updated fully with the data from your site. I'm not positive about that but would suggest activating the theme first to see what updates with your site data.
And I would suggest a very thorough three or so readings of the themes area of the codex to make sure you grasp the theme concepts. This is a good start Stepping into template tags
Good luck