Sidebars appear in one of two places:
The sidebar appears on the right of a landing page that has the template, 'Landing page with sidebar';
If your landing page is set up to have a Sidebar, it can be used to add links, call to action buttons, images, feeds and more. It is empty by default and requires content adding to it. Simply add a 'Sidebar' as a child to the landing page, untick 'Show in navigation' and begin populating it with content. Look to the navigation to the left of this page you're reading now to see instructions for the different content you can add.
On your content pages, the Sidebar is the grey bar on the left of the screen and it lists your site structure in a vertical format. This can not be removed. However, you can add items to it underneath the navigation to highlight important content, adverts, links, call to action buttons and social media. Add a hidden section called 'Sidebar' as described above to the page where you want to add more Sidebar content.
If you add content to a page's Sidebar and you want this replicating on children of that page, you can use the Shared Sidebar.
To add a Shared Sidebar section, it's very similar to adding a normal sidebar. When you create the shared sidebar section you must name it 'Shared Sidebar', rather than just 'Sidebar'. Then proceed to add content to it.
If you create a Shared Sidebar and a Sidebar on a particular page, the content you add to the Shared Sidebar will appear above the Sidebar content in your page layout. The Shared Sidebar takes priority.