the sidebar.php shows

<li>
 <?php wp_list_categories('show_count=1&title_li=<h2>Categories</h2>'); ?>
</li>

so which php file creates the Groups within the sidebar (covered with a tags with quantity of posts)?

If you are attempting to alter the creation of this function, it can be done having a custom theme filter. Add the next for your theme's functions.php:

function custom_wp_list_categories($categories){
    // do something to the $categories returned by wp_list_categories()
    return $categories;
}
add_filter('wp_list_categories', 'custom_wp_list_categories');

The advantage of this method is it implies that should you upgrade WordPress, it's not necessary to be worried about making your changes again towards the core files.

The function is situated inside wordpress-includes/category-template.php

You are able to discover where any function is situated by searching in the WordPress codex - at the end of every page, there's a hyperlink to in which the function situated.

Documentation for wp_list_categores

wp_list_categories function source code

Why edit the core when you will find a lot of options to select from! http://codex.wordpress.org/Template_Tags/wp_list_categories