It sounds like you're looking at adding the control to the site.master file in the theme folder of your chosen theme. Below are links to some resources that would clarify the parts involved. First, this screencast by Al Nyvelt walks through
the process of building a theme, but in the process, you'll see the pages and tags and how it all works together. The screen cast is for BE a version or two back, but it still applies.
The following page "next door" in the Documentation area lists the tags that put the BE functionality in your pages.
And, a newer BE feature, multiple widget zones, is nicely described in Ben's Blog:
A thing to note is that you might want to get through all three to understand that rather than adding the individual widgets (which is more the approach in the older screen cast), in the latest version of BE (1.5+), you can have changeable widget