In addition to what was explained in the What to do first? post, here is some more information on adding menus to your blog.
On many of the themes there are two types of menus.. Page sidebar (which will only show on a page such as your about page). Then the Blog sidebar, which will usually be the one you want and shows on all pages, the posts etc. When you first go into Widgets that one is often minimised. When you open it you see what I have in this screenshot. You drag the ones you want from the available list on the left and place them in the order you want on the Blog Sidebar.