If you're using the new sidebar in Confluence 5.0 or later, this document describes how you can configure it:
Do you mean the side bar in your personal space?
Firstly you need to check whether you are using Global look and feel (default) theme or documentation theme. If you're using the default theme, you can refer to the documentation that Sarah provided above. However if you're using documentation theme, you need to go to Space Tools (Space Admin) >> Themes >> Configure Theme, and the you could customize the sidebar under the Navigation. For more information please refer to the following documentation.
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