As i understand it the latest version of wordpress has the widgets tool already installed so you dont need to install it. I use 2.2 and it works pretty good. Having said that i edited my template to get adsense to show up

The latest version (2.3.1) seems to be very buggy.
I did a custom theme for a client on my test blog using 2.2.3 and when I installed it on his site I used 2,3,1 and the widget function disappeared.
Had to do a quick uninstall and reinstall with 2.2.3 to get the widgets function back.
Haven't touched 2.3.1 again and won't till they fix the issues with it.
Also many themes and plugins won't work with 2.3.1 and that's just the start of the problems.
The only way to use it that I have found is to use it on a fresh install and then search, search, search, for compatible themes and plugins.
Way easier to just use 2.2.3 for now.
By the way you can still find all versions of wordpress at
http://wordpress.org/download/release-archive/