Adding A Custom Menu To WP 3.0 Theme

[JasonG959]

I've added add_theme_support( 'menus' ); to the functions.php file to enable custom menus.

Now I need to add the following to my theme:

<?php wp_nav_menu( array( 'sort_column' => 'menu_order', 'container_class' => 'menu-header' ) ); ?>

My question is, where do I add it to?
I'm looking to have the menu down the right hand side (left-sidebar), could someone please have a quick look and let me know where the code should go? The URL is whatisthatallabout.com

Thanks in advance!!

Jason