welcome here... and to WordPress.
To have a blog page, you have to set a page in your dashboard, in Settings -> Readings and select a page for stati Home Page a page for Blog Page. Here more info.
In general, reading this page is a good read for a WP newbie.
How blog index page display the content, depends on your theme. WordPress use to display content different template files for different request.
When you set a blog page, and you visit the related link WordPress check first for a file named
You don't have to remember every file is used for every url, you can look at Template Hierarchy in Codex to easily understand what page is responsible for page display.
You are using twentytwelve theme, that's one of the standard wordpress themes, that has no
home.php file, so according to template hierarchy, the file used to display content is
Being a 'core' theme, this simple task work out of the box: set your blog post page, start to write your articles, and then visit the page, everithing should work fine.
Having different sidebar, based on page, is little more difficult: it cannot be done simply by settings, it needs some code.
- or you write the code by yourself creating a plugin or a child theme
- or you use an already written plugin
If you choose first solution (it's easier that it can appear), start with a search here in wpse, you'll find a lot of exampples and working code snippets. Also in Codex you can find explainations and code samples.
If you choose second solution, there are different plugins that can do the work, which one to choose is up to you, but try to use well known and frequently updated plugins.
One of the most multiple sidebars plugin, is WooSidebars by WooThemes, I've never installed it, but people say works well...