You add widgets to "Widget Areas". A sidebar is just a widget area which is usually to the left or right side of a page. A widget area can be placed anywhere including the header, footer, etc etc.
Navigate to Dashboard -> Appearance -> Widgets to view your available widgets and widget areas. This is where you will set and configure your widgets to display.
Navigate to Dashboard -> Appearance -> Widgets and you will see all of the available widgets on the left and all of your widget areas on the right. To add a widget to one of your widget areas you just click and drag it over.
At the top of your widget areas you'll see the primary widget area which gets displayed everywhere by default. Next you'll see the homepage widget area that displays only for your homepage. Below that you'll see the footer widget areas and then any custom sidebars you have created.