If the theme is ‘widgetized’, (pre WP 2.2 only: and you have the Sidebar Widgets Plugin installed) you’ll find a ‘sidebar widgets’ tab in your administration area under ‘presentation’. This is where you can add items (widgets) to your sidebar.
Else you’ll need to edit your sidebar.php manually and add the appropriate template tags. Check out the default’s theme sidebar.php for a code example.