I see.
Try this: Go to Admin and click on “Write”. When that page loads click on “Write Page”.
When you’re at the “Write Page” page you’ll find a column of buttons on the right. One of these will say, “Page Template”, which should have a minus sign to the right. If you see a plus sign just click on the button and you’ll get the minus sign and the drop-down menu
Click on the drop-down menue and then select the “Links Page” option. When you click on the “Create New Page” button below the text entry box you will have a links page. Some themes have an option for a two column links page if you prefer.
It’s been a fortnight since I did this, and my memory stinks on toast, so what happens next is a mystery to me. But I think you’ll get a “links” link on your site in the sidebar just above the links displayed on said sidebar.
Hope this helps.