Widgets have different kinds of settings. Some Widgets have only header style and Widget styles and others have multiple different buttons you can push.
Configuring a Widget requires you to create a new Widget or selecting an existing one. Then from the right side panel you can see all the Widget settings.
For some of the Widgets you need to set the source before seeing how it looks like.
For a more detailed list of setup options you can read each Widgets options from here.