The sidebar does not give a heirarchical view of folders like MS Windows Explorer did. The top bit is a list of all your mounted disks & networks (Macintosh HD, CDs/DVDs, Digital Camera memory etc), and the bottom bit is just a list of shortcuts. You can drag anything you like in & out of there and change the order at random. Try it!
This may seem a bit illogical for about 1 day if you're used to Windows Explorer's "tree view". Don't worry... you might not grow to love Finder, but you'll certainly get used to it pretty quickly.
HTH
SL