Missing “Archives” directory

Ok, I’ve been running WP since 1.2 and now have 2.0.1 installed. So far, so good. I decide to modify the REVVED-UP theme, and it has something called “complete archives” (which works on the author’s site at http://rudd-o.com/projects/revvedup . I’ve read his “README” file and installed his RevvedUp-plugin.php, activated it, and it STILL doesn’t create the “Complete Archives” page (Giving an Error 404 that the Plugin created).

Could it be that I don’t HAVE an “archives” directory? How do I get one? How does it get populated?

I’ve messed with it for over 12 hours before walking away in frustration.

You can see what it does at http://silverblue.thesilverblue.com/test (I’m testing it there before unleasing it on the http://thesilverblue.com/wp site I run, and this is the last thing I can’t get working)