Go to Feedwind
and enter your Classifieds RSS feed URL (e.g. "http://www.mysite.com/classifieds/external.php?type=RSS2") and copy the code. You may want to adjust the advanced settings - try 250X260, 10pt font, title length 60 words, entry length 110 words.
In AdminCP, go to Forums & Moderators>Forum Blocks Manager>Add block. Make it a Custom HTML/PHP block. Change the title to e.g. "Latest Classifieds". Content type HTML. Paste the content in from Feedwind. Save.
If you want your sidebar to appear in more places, use Everywhere Sidebar 4 VB4