How can I create a page to list all my archives on? (like this)
I’ve created a WordPress page, http://www.viper007bond.com/archive/, but of course I can’t execute PHP in the page. Should I use a PHP execution plugin or is it easy to make a page that uses my template?
Viper, if you are using the Clean Archives plugin, the code that is seen on your page should be not in the content, but in the archives.php template. If you don’t have it, create one in your theme. See also the Codex.
Then create a new Page by using that template, don’t write anything in the content area, just save it and you are done.