I'm trying to create an archive index using instructions from http://codex.wordpress.org/Creating_an_Archive_Index
Upload the archives.php in your theme directory (wp-content/themes/yourthemename/). Then from the Admin Panel, Write > Write Page, and choose Add a New Page:
1. Give your new archives Page a suitable title like Archive Index. Leave the Page content blank.
2. Under Page Options, set the Template to archives.php.
3. Click Create New Page.
4. Voila! Your archive index can be accessed at http://example.com/index.php?pagename=archive-index.
The problem is in step 2. I don't see a Page Option that allows me to set the template. There's only Page slug, Page owner, Page Order, and Delete.