Wordpress - How to override WooCommerce template files?

The WooCommerce template files are different from the WordPress Template files look at this to see how it works and the template file for shop pages is archive-product.php

Usually, all themes provide a separate sidebar area for the shop page, did you check if your theme is compatible with WooCommerce?
If yes then you should have a sidebar available under Appearance->Widgets with name similar to 'Shop Sidebar'

How to override a template?

To override the shop page,
copy: wp-content/plugins/woocommerce/templates/archive-product.php
to wp-content/themes/your_theme_name/woocommerce/archive-product.php

and then make the necessary changes to the template in your themes folder.

What happens is WooCommerce checks for the archive-product.php file in theme directory first and if it finds a file in woocommerce/ directory then it will use that file instead of the default one.
So now you have to edit the file inside your_theme_folder/woocommerce to make any changes.

If you are using custom WooCommerce template overrides in your theme you need to declare WooCommerce support using the add_theme_support function. WooCommerce template overrides are only enabled on themes that declare WooCommerce support. If you do not declare WooCommerce support in your theme, WooCommerce will assume the theme is not designed for WooCommerce compatibility and will use shortcode-based unsupported theme rendering to display the shop.

Declaring WooCommerce support is straightforward and involves adding one function in your theme's functions.php file.

function mytheme_add_woocommerce_support() {
    add_theme_support( 'woocommerce' );
}
add_action( 'after_setup_theme', 'mytheme_add_woocommerce_support' );

Now override the template file copy: wp-content/plugins/woocommerce/templates/archive-product.php to wp-content/themes/your_theme_name/woocommerce/archive-product.php