That’s actually a custom theme we built specifically for the documentation.
The icons next to the links are just font icons applied as pseudo selectors.
The sidebar with categories is a part of the template we built for the theme. It uses PHP to fetch the current categories and output them.
It’s a little too advanced to explain via the forum, unfortunately. It’s a theme we’ve considered releasing in the past, but we wouldn’t be able to properly support it at the moment.