If you see a blog that you like, for example this one, that doesn't have a *follow* button, just copy the URL and go to your dashboard. Down at the bottom is a Reading List. Click on ADD, insert the URL in the box that comes up, and click, you're following!
I don't have the *follow* widget on my blog, nor do I recommend it to my clients. There are several reasons for this, the most important one being how pathetic it looks when you just start out, having maybe 3 followers. You don't need to advertise that! And also, people are reluctant to follow if it means that they have to appear on your site. It makes some people feel like they are endorsing your site. Maybe they want to follow just to find out what NOT to do! And, the *follow* widget is way too 20th-century, number-of-hits, Facebook, MySpace. Doesn't look professional.
But that doesn't mean that you can't follow! In fact, you should.