In your User folder, also known as the Home folder (the one with the little white cottage logo - I don't know what you called it, but you do)... open the Library folder, then Preferences. You have to be in your User or Home folder; there are other Library folders.
Once in Preferences, look for this file: com.apple.sidebarlists.plist and drag it onto the Desktop. Now restart the computer. If this item is still on the Sidebar, try the command and drag maneuver again.
NOTE: If you do this and it doesn't work, you can put that file back and restart again. This will restore other things you added to the Sidebar and want to keep. When it asks if you want to overwrite, say yes. But then, you'll still have the same problem in search of a solution. Otherwise, you'll have to re-customize your Sidebar, which you'll have to do if it does work.