Achives link

Dear all,
I seem to be the only one who doesn’t know how to do it. Every repectable theme author has an “archives” link on their website, which links to a page with, instead of ‘normal’ content, sorted archives and search fields et cetera but within the normal ‘index.php’ template.
How is this done? I just can’t figure it out but would like to implement this myself in my new theme.
Not sure what I mean? Take for example the thoughtmechanics. I’d like to know how he included that archive link.
Regards.