Basically you need to do three things:
1. Add something to your stylesheet to give the properties of the extra column and everything in it. The first time I did this, the way I did it was to take everything in the current stylesheet for the sidebar, copy it and change the dimensions, margin, padding, etc. so it was on the left side instead of the right. That way all the things like forms and link items matched in appearance to the original sidebar column. If you take your settings from a different theme, you could easily end up with your new column looking like the other theme instead of your current one.
2. Add a file for the extra column (like sidebarleft.php or sidebarright.php) or add it into the existing sidebar.
3. You may have to adjust the width, margin, padding, etc. on the main column (content, header, footer) so they don't overlap.
And actually after that, if you want it to look right for the biggest number of people, you need to do a 4th thing - validate it. http://www.w3c.org has tools for validating the HTML and the CSS.