If I want my archives to have the same #link and #menu side bar as my Main Index, do I only make the change in my Master Archive Template, or do I need to change each Archive section?

This thread gives you one method. I suggest that you take everything in your sidebar (on your main index too) and make it a separate index template or module. You can then insert that template or module using MTIncludeModule, PHP or SSI wherever you would need: this thread should give you an example of that.

Does that help?

Donna