In order to follow this guide, you need:
As first, visit the admin panel of your WordPress website or blog, usually something like www.yourwebsite.com/wp-admin or www.yourwebsite.com/blog/wp-admin .
On your admin panel, visit the Widgets section, available from here:
The widget section will look like this:
Depending on the Theme of your choice, you should find different sections on the right, referring to the Sidebar or to the Footer. Each of the boxes on the right allows you to insert content in the respective sections of your WordPress website, so you must choose which of these sections you want to place the privacy policy link into. The most common choice is the Footer, but placing it in the Sidebar is still not a bad idea. You can, anyway, change this whenever you want.
So, after choosing the section, you must drag the Text box from the left to the section on the right, as shown by the screenshot below:
The widget will then open this way:
And you must paste here the iubenda embedding code, this way:
And hit save.
Now on your website you should see something like this:
If you see the privacy policy link, then everything worked fine
The following video summarizes everything.