Here is the procedure to create a custom archive page for your wordpress blog.

1) Create a file archives.php

2) Write the following code in it.

<?php
/*
Template Name: Archives
*/
?>

<?php get_header(); ?>

	<div id="content">

	<?php if (have_posts()) : while (have_posts()) : the_post(); ?>

	<div class="post" id="post_<?php the_ID(); ?>">

	<h2 class="title"><?php the_title(); ?></h2>

		<div class="entry clearfloat">
			<h3>Yearly Archive</h3>
			<ul><?php wp_get_archives('type=yearly&amp;show_post_count=1'); ?></ul>
			<h3>Monthly Archive</h3>
			<ul><?php wp_get_archives('type=monthly&amp;show_post_count=1'); ?></ul>
			<h3>Category Archive</h3>
			<ul><?php wp_list_cats('sort_column=name&amp;optioncount=1') ?></ul>
			<h3>Posts Archive</h3>
			<ul><?php wp_get_archives('type=postbypost') ?></ul>
		</div>

	<?php edit_post_link('Edit this entry.', '<p>', '</p>'); ?>

	</div>

	<?php endwhile; endif; ?>

	</div>

<?php get_sidebar(); ?>

3) Upload it (archives.php) in your current wordpress theme directory.

4) From WordPress admin panel, create a page name Archives.

5) For this page, set Template to Archives. i.e. Attributes >> Templates = Archives (In WP 2.8, you should find ‘Attributes’ under ‘Update Page’ button).

6) Publish the page and you are done.

Enjoy!