First of all, and again, freewheels and cogs are two different things. You can't unscrew a cog from a freewheel mechanism - freewheels and cogs are completely different things. You replace a freewheel with a cog and lock ring, and vice versa. If your bike can coast then you have a freewheel. If your bike can't coast (AKA fixed gear) then you have a cog with lockring.

Second, as @seau grateau pointed out, some wheels don't accept a freewheel on both sides. You have to check your wheel, make sure your wheel has the capability to accept a lock ring on both sides. If you see two sets of threads on both sides then you can put freewheels or cog/lockring on both sides. If one side has only one set of threads then you can only put a cog/lockring on one side and the other has to be a freewheel.

In your case, if you can see two sets of threads on the side that currently has nothing on it then you can just buy a cog and lockring. You will need tools (lock ring tool and possibly chain whip) to install it and grease to lubricate the threads. If you don't understand all this or if you don't have and can't buy the tools then it is probably best to go to a shop. Five minutes in the local shop is going to answer all your questions.