I’m having this same problem… Don’t know what to do! 😛
I just found the solution… I’m feeling a little ashamed, as it’s quite a stupid thing…
I downloaded the latest version of WP and (maybe because English isn’t my first language) and thought that the default theme was ready to work with widgets… But it didn’t… and the problem was: it wasn’t actually ready for that.
I downloaded the Ocadia Theme and (magic!!) I finally had the sidebar widget menu.
Thats’it! ^^
Amie
(@sunburntkamel)
widgets haven’t made it into the main download of wordpress yet.
you’ll need to copy the files from widgets/default
into your wp-content/themes/default
folder. same thing for classic (if anybody still uses that theme)