You did not say what blogging platform you are using, i.e. WordPress, Blogger, or Typepad. Each is a bit different in the way you go about adding widgets.

Basically, you download the widget to your computer and then upload it to the online file server where your blog resides. Read the ReadMe file accompanying your widget code and follow the instructions to install.

I have included a link to a site with an array of widgets for different blog software platforms.

Good luck.