Custom Blogroll

I have seen other blogs with links in their Blogroll that are different than the default Blogroll Links. Example, http://www.brianwhite.org/. This blog had link with names of people, yet when I use the Blogroll widget the links are: Documentation, Plugins, Suggest Ideas, Support Forum, Support Forum, Themes, WordPress Blog, WordPress Planet. How can I change what the links are in the Blogroll?