You'll need the Cincopa WordPress plugin for that, get it here.
Go to your Wordpress Dashboard, click Appearance and click Widgets. Drag a Cincopa Gallery Widget from the list of available widgets on the left side to your sidebar on the right.
Enter the Gallery ID into the box and click save.
If you don't have a gallery yet go to http://www.cincopa.com/wpplugin/wizard_edit.aspx , click Create a New Gallery and continue from there.
If you don't know the gallery id go to http://www.cincopa.com/wpplugin/wizard_edit.aspx, the gallery ID is the number in parenthesis after the name of the gallery.