We are new to Magento and have inherited a site from another client.
When we look at the site at http://lingraytimepieces.neowebservices.co.uk it has a side menu where you can refine your search by Price and On Sale.
We have searched but haven't been able to find how this has been set up as we also want to include filter by category as part tof the menu.
Any help would really be appreciated.
I didn't see that on the homepage, however I saw that on the category page here: http://lingraytimepieces.neowebservices.co.uk/mens-watches.html
That is essentially what is called a "layered navigation" and is selected by what attributes you want it to filter on.
Some basic instructions can be found here: http://tomrobertshaw.net/2010/08/how-to-turn-on-layered-navigation-in-magento-categories/
As I can see, you are using our Improved Layered Navigation on the site.
Here is a User Guide for this extension https://amasty.com/media/user_guides/improved_layered_navigation_user_guide.pdf
Hope that helps!