Widgets are the two columns to the left and right side of your site.
Most of these can be moved around and there are many more you can add.
To add a new widget you must go to the Edit Widgets Page.
This page displays all of the widgets that are available to you.
The first column displays the name of the widget, you can hover over this to get an image of the widget.
Next to the column name is a button to allow you to turn that widget on, when you turn a widget on some more options will become available to allow you to change the location of it.
Left and right side allows you to change the side of the screen it is on.
Order allows you to enter a number to change its location, 1 will be at the top and 10 is closer to the bottom. Remember some widgets will always be put at the top of the page.