Is there a way for me to change the width of the scroll bar?...
I've seen it on different sites and don't really understand how they've done it.
Scroll bar modifications
I'm personally hesitant to alter the look of standard components like scroll bars; the last thing you want to do in a site is to frustrate and alienate your readers by changing the fundamentals.
Ideally, we should be distinguishing our sites by the content they contain, and not by deviating from established and expected standards.
That said, I haven't been able to find a reference for changing the size of the scrollbars, but the colours certainly are adjustable - in IE. Playing with the colours could provide the illusion of a differently-sized scrollbar.