I've never seen that sidebar and, as far as I can tell by googling it, you must have installed it at some stage.
There are lots of websites which offer free software to get rid of it but (since I've not had a chance to check on the integrity of such sites) I suggest starting by seeing if 'Amazon Sidebar Tool' is listed in your 'Installed programs'.
i.e. Go to Start > Settings > Control Panel and double-click on 'Add or Remove Programs'.
(Those instructions are for Windows XP. Other versions of Windows are similar but you might need to go via 'Programs and Features' or 'Installed Programs').
Look for 'Amazon Sidebar Tool' (or something similar) and click on it. Click 'Remove' and confirm that you really do want to uninstall it. (You might need to restart your computer afterwards).
If you can't find it, or that doesn't work, please post again (telling us which browser you're using).
Chris