@rosegrowser
Unless yours is a private blog, would you please post a link blog so we can see it?
You enter links into your Blogroll here -> Blogroll and you must assign them to a category when you do. Then you put your Links Widget into your sidebar here -> Presentation -> Widgets (drag the Links widget out of the Available widgets box and drop it into the Sidebar box, then click "Save Changes". Although sidebar data is cached and there may be a slight delay your links should display in your sidebar in alphabetical order in accord with the Categories you assigned to them when you entered them into your Blogroll.
If you have done this and they do not display then you will need staff help. Support hours are from 9 - 5 PM Pacific time and you can use this link to reach staff http://wordpress.com/contact-support/
Cheers :)