OK... What you are seeing is exactly what is supposed to be happening in WordPress. The links under Virtuele zen-bibliotheek are called Category links. They are not links to individual posts.
If you do not know, WordPress includes a concept called categories. You can assign posts to categories so posts on similar subjects are all linked together.
The list under Virtuele zen-bibliotheek is the list of the categories in the system. When you click on a category link, a page opens that contains the posts in that category. That is what you are describing as
When you click on "Soetra's en klassieke zenteksten",
a new page opens, but it's just the titles, no links.
That is a category page. And, as you say, when you click on a post on the category page you see the entire post on a page by itself. That is how WordPress works.
What you want is a direct list of the posts in a specific category - assign all the posts with PDF's to one category. Then list the direct links to the posts in that category in the sidebar.
Here is a plugin that will help. You need to read the instructions. It comes as both a widget and a plugin. Which you use depends on how your sidebar is put together.