Hi! I'm Mr. Harold R. Pal. I just want to answer your query about if still have to install WordPress 2.0.6; before installing the new release version of it.
Well, actually, as with most released softwares, you do not need to install version of 2.0.6; if you are planning to use its new released version, that is WordPressv2.0.7. Like you, i am new also to WordPress; but I encountered no problem during installation. Just follow and read all instructions in Getting Started with wordpress http://codex.wordpress.org/Getting_Started_with_WordPress; and steps on How To Install WordPress as it was provided from their site itself http://codex.wordpress.org/Installing_WordPress.
Moreover, you might only noticed that Side bar menu list may not found under Presentation as it was mentioned in other documentation particularly in http://wordpress.com/features/sidebar-widgets/. But, we are not the only one who have been experiencing the same problem. As you would notice also in many forums particulary in http://wordpress.org/support/.
Maybe plugins might resolve our problems about side bar.