for my site? Not sure what its called but does it automatically appear based on your categories on your site? I’m using Wordpress with ALL in One SEO btw.
They are called “sitelinks”. You can see them by following Google Webmaster Tools->Site Configuration->Sitelinks.
Google will add them automatically if they’re needed (ie. If you have enough people searching for your blog specifically), so you don’t really have a lot of control over them.