using sidebar

I really dont understand how to change the content of the sidebars , .I would like to have was my menu in there and maybe a link or two as well .

I can see how to display the sidebar in the options but thats all , And it says in the box to -

Appearance/Presentation -> Widgets -> Select "Left Sidebar" -> Click "Show" -> Click on "Add" on one of the widgets on the left side -> Click "Save changes" -> Done

I go to widgets , but i dont see to "select left sidebar" or click "show"

Sounded easy enough , but am i missing something ?