The side bar gadgets are added by clicking the top left most "+".
Read the how to on Microsofts page, they are made using html they claim. The bloody thing only chows memory and has no real use other than showing you how much memory it has chowed. There is one gadget I was that is cool. It is a live feed from nasa tv, shame the person who made it didnt think to allow you to get other live feeds. Everywhere I looked when using the side bar, people where complaining about transparency issues and gadgets being to small.
My advice loose the side bar(and vista if you can) and rather find a propper solution for the situation you are in.
eg:
if you need a calculator, use windows built in one.
if you need a calender, use Outllook.
and so on...