If it helps, these are the steps we took. Step 3b was our problem:
1) Download, install and activate the Plugin.
2) Go to the new Sidebars menu and DEFINE one or more new custom sidebars. Enter their name and add a brief COMMENT to describe them. (I say DEFINE because you actually create the content for the sidebars in Step 3.)
3) Go to Appearance > Widgets. You will now see the sidebars you created on the right. (a) Add the new Multiple Sidebars Widget to the Default item on the right. (We did NOT add it to the Sidebar item, we added it to Default.) (b) Add your content into each of the new Sidebar items on the right. This is where you actually get to create your sidebar items with the relevant text, graphics, etc.
4) Create or Edit the page, post, or item where you want to use the new sidebars. A new section on the right should allow you to activate or deactivate the new Sidebars to add them to the page, post, etc. You can order them vertically (top and bottom).
5) Go to Appearance > Editor and add the following code to Sidebar.php (We replaced everything on our old Sidebar.php with this code, which we pasted inside <div> and </div> tags, but maybe the div's don't matter.)
$MultipleSidebars -> dynamic_sidebar();
That is it. The pages should now display the sidebar that you activated for each of them with the content that you gave them in the Widget's page. There is also a sub-menu called OPTIONS inside the Sidebars menu where you can activate specific Sidebars as default for new pages, posts, etc.
I hope this helps make good use of this useful plugin!