You can create a sidebar by going to Appearance > Manage Sidebars. Under Add New Sidebar, type a name for your sidebar and click 'Add'.

Once a sidebar has been created, add widgets to it by going to Appearance > Widgets. You will see available widgets on the left side of the page and sidebars on the right. Simply drag and drop a widget onto the sidebar in which you want it to appear. Note that the Default sidebar automatically appears with Archives, Search Results, and when viewing single posts.

To get a sidebar you've created to appear on a specific page, go to edit the page. On the right side there will be a box titled 'Page Settings', under which you can choose to display one of your sidebars. There is also a checkbox to apply this same sidebar to all child pages. If you want to apply the same sidebar to an entire section of a site, this option will be useful.