You are not doing anything wrong. That particular site map is for Google crawlers and such, and Google Webmaster Tools is where you can be sure all is well there. For the kind of sitemap you are asking about. maybe one of these will help:
http://wordpress.org/plugins/search.php?q=Kwayy+HTML+Sitemap
http://wordpress.org/plugins/search.php?q=HTML+Sitemap
Thanks for your reply. It would seem that the Google xml sitemap plugin is what I want and there is probably no need to have a sitemap page on the site.
I installed the plugin Google XML sitemaps and activated it. When I check “sitemaps” under SEO I see that there are URLs created for my pages, however, when I go to Google Webmaster Tools and check my site it shows that no XML pages were created. I have verified the site. Why don’t these XMLs show up in Google?
I know very little about these things, but I went to Webmasters Tools > Crawl > Fetch as Google — https://www.google.com/webmasters/tools/googlebot-fetch?hl=en&siteUrl=http://www.yoursite.com/ — and submitted my site URL, robots.txt and sitemap files. Since then, I have definitely seen an increase in crawl activity. And as I recall, there was an extra box to check along the way while submitting the site URL so all linked pages would be indexed.
