Change the menu?

Yes.
Look in (I assume) sidebar.php and each heading should be able to be edited there.

Got to the presentation tab, and the click on the theme editor sub-tab. Once there, as podz says just edit the sidebar file.

And if you do not want to edit code, download:

https://www.semiologic.com/projects/sem-theme/

it will let you add/remove items to your sidebar by clicking.

Thank you all for your help, I will try those.