The orange sidebar is built into most orange branded phones these days, it is shown on the main screen, and is basically a shortcut bar for many of the useful features on the phone. I know my mother has had a samsung z500 and a motorola U6, and motorola L6 from orange last year, and all had the side bar, but im not sure if they put it with sony ericsson phones, I had a k800i with no sidebar.
Example of sidebar (sorry not the best pic):
Hope this helps
Bryan
P.S - Every phone I have ever ordered from cpw have been 'sim free' versions with no branding and completely unlocked, they also give free next day delievery and 7 days where you can return the phone to one of their stores if your not satisfied for a refund or exchange.