In your theme folder (/wp-content/themes/yourthemename/), is there a file like "links.php" ?
If so, create a new Page and name it "Links" or what have you, and leave the contents of the page blank. Before publishing the Page, scroll down (below the page contents box, which is empty) to "Page Template" (screenshot: http://flak.dotq.org/skitch/pagetemplates-20081001-074210.jpg ). Select "Links" from the dropdown list.
Now, you can edit the links displayed via the link manager (admin panel -> manage -> links). You can also edit the links.php file if you're PHP savvy and want more control.
IFFF you don't have a links.php file in your theme folder, copy the default links.php file from the Wordpress "default" theme into your theme folder and use that.
If you have any questions about what I said here, sorry, and I'll do my best to answer'em!