Choosing between the sidewalk and the road depends heavily on your situation.
That being said, the road is safer in the majority of cases. Here are two sources that really helped me to learn how to drive my bicycle safely in traffic and reduce anxiety around cars.
Cyclist's Eye View
http://www.youtube.com/watch?v=ZFjCza5e1kw
How to Not Get Hit by Cars
http://bicyclesafe.com/