Ah, but you do have this folder, Ken! So take a look at your app/design/frontend folder and you’ll see three folders: base, default and enterprise. How Magento works is it first reads your template package default, and if the file can’t be found there then Magento will take it from the base folder (unless you have other templates installed).
I suggest for best practices that you go into your app/design/frontend/default/your_template/template folder and create a folder called “review”. Then go to the base folder and copy the contents of the “review” folder into the new folder you just created. These new copies will now be read by Magento. I strongly suggest you NOT modify files in the base folder to stay upgrade-proof.
But after re-reading your post, I think the issue is that you haven’t selected a 2column layout for your page. Go to the admin area and select the page, product, or category you want to show the left column in and find in there a selection for layout option. It will be a dropdown list of layouts and simply chose the 2column-left or similar name to get that left column to appear.