You cannot make one automatically unless you have one ot the theme that do include Links templates. See here > http://wpbtips.wordpress.com/2009/03/25/archives-and-links-templates/
If you do not have one of those themes then you can make a Links page manually. You place the Links widget in the sidebar temporarily and open another tab that your create a page in. Then you copy and paste the data displayed by the widget into the page. Once the page is done you publish it and remove the Links widget from the sidebar. It will not automatically update and your will have to repeat this periodically for it to be up to date.
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