When you click the Forum tab, it's on the right. It only shows up on the main forum page. If you don't see it, the sidebar might be collapsed. Look at the far right of the blue bar that says "town square". You'll see a grayed out arrow. If you hover over it, it will turn black. Click that and it will expand your sidebar. The sidebar holds some cool stuff, like the Shout Box, the Calender, recent topics, and recent uploads to the gallery.
Once you step into a subforum or a thread, the sidebar isn't there. BTW, a lot of those widgets on the right can also be closed by clicking the little X in the corner instead of collapsing the entire sidebar. They don't go away completely, but they do collapse.