Shop by Collection
Link to your individual collections by creating a new linklist in the Navigation section of the admin.
You can then have it appear here by choosing your new linklist under Customize Theme / Sidebar.
You do not have a link list with a handle set to brands, or you do and it's empty. Go ahead and create a link list called Brands on your Navigation page and populate that link list with links that point to collections, to see collections listed here. Make sure the link list also has a handle set to brands.