"Sideloading" is just a fancy term for "directly copying files on the device, without vendor control".
So essentially, plug in your Kindle to your computer, and it should appear as a device ("drive letter" or "mountpoint"). You can copy any file on that device. All the files that you put inside the "documents" folder will be considered by your Kindle.
That includes pdf, mobi, azw, etc. And azw2 is the "official" extension for Kindle Apps. So, if you have a PDF file and put it into the documents folder of your Kindle, you "sideloaded" it (because Amazon as a company doesn't know about it, but your device can handle it). That's pretty much about it.
