Your Blogroll is located in your admin section here -> Manage -> Blogroll
Into it you enter links assigning each one to at least one category
-> Presentation -> Widgets
When you place your Links Widget in your sidebar the Links display in alphabetical order according to the Caetgories your assigend
Timethief has the key you’re looking for. After you’ve created the blogroll, you need to go to your “Presentation” tab and select “Widgets.” Once you’re there, scroll down a bit, grab the widget called “links,” and drag it up to the box at the upper left side of the screen. Voila! Your blogroll will appear.
I should know — I’m new here too, and I had the same question about an hour ago. The FAQ could be clearer … but hey, that’s what the rest of us are here for!