Sidebars and other widget areas in your site are usually created within the code of your theme, tyically within the functions.php file.
There are actually two components needed to create a custom sidebar area. First, the code that creates the sidebar, which is usually done within the functions.php file in your theme. Then, the code that displays the widgets within that sidebar, within the individual page or post file in the theme.
If you don’t want to mess around with code, check out the WooSidebars plugin. It overrides the widgetized areas in your website, displaying different widgets for different screens… without touching a line of code:
Hope this helps!