The sidebar is the column with navigation links, by default on the left, but in RTL languages on the right.
See Manual:Interface/Sidebar for the message specifically, and see 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.
If the sidebar on your wiki disappears, most likely there is a syntax issue on the MediaWiki:Sidebar page.
- Category:Menu extensions – extensions for the sidebar