Go to
Dashboard -> Appearance -> Widgets.
You are looking for Archives widget.
If your theme has built in sidebar, you’d just select the appropriate widget in that sidebar.
To create a new sidebar in your theme, you need to use register_sidebar() in your theme’s functions.php.
To include a sidebar in your file, you’d use get_sidebar() in your theme file. You can include the sidebars dynamically from the admin panel there.