Different Sidebars for each page

[sher4]

I am a newbie and whilst I've managed to set up 3 pages etc I do not understand how to have separate sidebars for each page. I do not really understand how a page connects to the sidebar.

I have read the post:
http://get-simple.info/forums/showthread.php?tid=4293&highlight=sidebars

but I have absolutely no idea where to put the code:
<?php get_component((string) return_page_slug()); ?>

Any help would be very much appreciated thanks.