Based on a vague question ... the best I can tell you is to copy the more information sidebox to your templates and overrides directory and find the link that is in there that you wish to change and reset the URL for where it is going and the TEXT for the link ...

Example, while this link has a switch or IF statement on it ...
PHP Code:
    $more_information[] = '<a href="' . zen_href_link(FILENAME_PAGE_4) . '">' . BOX_INFORMATION_PAGE_4 . '</a>'; 
You could add a link to another page such as the privacy page by using:
PHP Code:
    $more_information[] = '<a href="' . zen_href_link(FILENAME_PRIVACY) . '">' . BOX_INFORMATION_PRIVACY . '</a>'; 
Could you be a tad more specific on what you are trying to add?