It must be in the main UL
. Being vague cuz I don’t know your setup, the sidebar should be in something either called “sidebar” or “menu” and look like this:
<div id="menu">
<ul><li>Section Title
<ul><?php some code here that brings up categories ?></ul>
</li>
<li>Section Two Title
<ul><?php some code here that brings up archives ?></ul>
<li>Section Three Title Most Recent
<ul><?php this is most recent posts code ?></ul>
</li>Section Four Title Random Posts
<ul><?php some random posts code ?></ul>
</li>
</ul>
Okay, keeping this simple. The first UL sets the whole list and ends at the bottom. The first LI in the list is the title of the section. The next UL in the list sets up a “new” sublist of whatever is in the code or the list. If the list generates LI for each item, then you leave it like this. If it doesn’t automatically, it usually has some parameter that will tell you how to turn that on so it will be in a list form.
In your CSS, if you are working on a theme, you will find CSS codes that look like this:
menu ul {attributes}
menu ul li {attributes}
menu ul ul {attributes}
menu ul ul li {attributes}
These are the things that control your “look” in each of these sections. If what you are working on is set up within this above format, the changes you make will show up in those sections. Make sense?
These nested links are a pain and sometimes I just remove them and have titles in H2 or H4 and then a simple list and then a heading title of another H2 or H4 and a list to avoid complicated nesting lists. WordPress went for the confusing lists, but you get the hang of them after a while.
I hope this helps.