Sidebar

Setting The sidebar is the column with navigation links, by default on the left, but in RTL languages on the right.

See sidebar>Special:MyLanguage/Manual:Interface/Sidebar|Manual:Interface/Sidebar for the message specifically, and see quickbar>Special:MyLanguage/Quickbar|Quickbar for the name used in the "Standard/Classic" and the "Cologne Blue" skins.

If you are a sysop, you can modify the sidebar by editing MediaWiki:Sidebar on your wiki.

A sidebar can also be a template that appears (usually) on the right side of the screen; see for instance this template.

Troubleshooting
If the sidebar on your wiki disappears, most likely there is a syntax issue on the MediaWiki:Sidebar page.