It looks like you've bought a theme for Magento, so it's customized solution. Further, that sidebar is called "layered navigation," and in general, there is no easy way to manipulate with it. It's generated from a couple of PHP classes and phtml templates which serve for rendering the different type of attributes (category, price...).
Those "files" affects layered navigation in Vanilla Magento:
app/code/core/Mage/Catalog/Block/Layer/*
app/code/core/Mage/Catalog/Model/Layer/*
app/code/design/base/default/template/catalog/layer/*
app/code/design/rwd/default/template/catalog/layer/*
Since you're probably using customized solution, it may differ for you.
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