Blogs MU Theme already a member?

When logged out of the site on the top right there is the option that says:

Already a Member: login

But when I click on that to login it says

in the browser that I need to create a login page in page???

What does that mean and how would I create such a page?

If you view the live demo of this theme it is there also and when you click it it goes nowhere?

Is there a way to just remove this?