I copy a html code to Customize my widget to match the look-and-feel of my site.But i don't know where to paste it. Which file and where should i paste it?
Look in the theme folder in your wordpress files, there should be a place there - it all depends on what the widget is and where the widget is going.
For example, if it's in the sidebar, you'd probably want to edit sidebar.php
Most widgets are bland HTML like <ul> lists, so they're easy to customize with CSS.
Since wordpress uses many PHP includes, looking at the sources files is a little tough. Use their codex to help, and also look at the source in your browser of the total site to see the full code with all the includes in place.
