Could you give me some details?
There are 4 ways to create a blogroll page:
1) Settings page of Ultimate Blogroll
In the settings of the plugin (which you can find in the admin panel, under ultimate blogroll, you should see settings) there you can select an existing page to be your blogroll page.
You can use the wizard, go to the plugins page of your wordpress installation, look for the plugin Ultimate Blogroll, there you should find a link to the wizard. From there you can select a page or create a new page.
3) Create/editing a page
When you create/edit a page you should see an admin widget in the right sidebar, you can select there that the page should be a blogroll page.
In the previous versions of Ultimate Blogroll there was an other system, I used <!--ultimate-blogroll--> but that is replaced with a new system. It should automatically import the settings.
I released a new version (2.4.4) in which I improved number 4, there was a problem when importing old(er) settings. Due to wordpress using different ways of storing information during the years, it was possible for ultimate blogroll not seeing the tag (<!--ultimate-blogroll-->).