Creating Pages- How Do You Do It and Check Out Tonia's Giveaway

Okay, so most all the giveaways around bloggyland ask that you link to their giveaway post on your blog. I am more than happy to do it, but there has to be something I am missing. I see all kinds of people that have a giveaway page on their sidebar near their blog roll. I can't figure out how to do that for the life of me and it is making me crazy! Can someone please help me?

Oh, and by the way, Tonia is having an awesome giveaway so head on over and check it out!
Racing With Babes-Run Naked