A sidebar is a section of your WordPress blog that can be populated with widgets. The first WordPress sidebar was literally a column that ran either to the left or right of your content, hence the name “sidebar.” But now sidebars can be in a variety of location: above the header, above the footer, below a post, and so on.
Sidebars are usually defined by your theme, but it is possible to add a new sidebar by adding a sidebar plugin.
You will see what sidebars your blog has by going to Appearance/Widgets. Most modern themes have at least one sidebar defined.