New Widgets can be added with plugins. In the particular case of MyBlogLog, there’s several plugins you can use:
http://wordpress.org/extend/plugins/search.php?q=mybloglog
Install the plugin, activate it, and then you’ll find a new widget on the widgets screen.
MyBlogLog themselves also have their own widget plugin for this purpose:
http://www.mybloglog.com/buzz/community/com_widget_wp.php
Note, when reading their instructions, they tell you to put it in the plugins/widgets directory. That’s old and incorrect. Instead, you want to make a new directory called /plugins/mybloglog and put the files into that. Every plugin should get its own directory.