Where is sidebar module code is located?

What do you mean with 'sidebar code'? There are many different places where code is stored that can appear in the sidebar. If you only want to change the looks you have to change your theme: themes/enteryourthemenamehere/views/sidebar.html.php . It contains the part that calls the different sidebar blocks. The blocks that are shown depend on your custom site configuration.

So in your template you call $theme->sidebar_blocks() and that calls Theme_View::_call("sidebar_blocks") which is located here:
http://github.com/gallery/gallery3/blob/master/modules/gallery/libraries/Theme_View.php#L194

That code in turn calls xxx_theme::sidebar_blocks() on every individual module's theme class, eg the image_block theme helper:
http://github.com/gallery/gallery3/blob/master/modules/image_block/helpers/image_block_theme.php#L21

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