To create an Archives Page. You will need to Add a New Page in WordPress and select to use a template which should be located in your Theme Folder.
Right Click the following file and save as archives.php
Upload the archives.php file to your Theme Folder normally located /wp-content/themes/the_folder/archives.php
Once you upload the file, create a New Page and on the Right Hand Column Select Archives for the Template.
Now publish the Page and when you visit the link create by the page you will have an Archives Page with Month Year links to posts create during that time period.