Did you turn on security? If so, you don’t need to do anything. The login page is already existing and working. You may want to change styling, but the functionality is already there.
If you turn on security in your application Mendix will automatically generate a login page for you as Andreas suggests.
If you would want to model your own login page you can do this with the Authentication part in the navigation. Check out the screenshot bellow.
In order to be able to do this you need to enable anonoymous users in you security. Check out this link with some documentation: https://docs.mendix.com/releasenotes/desktop-modeler/7.0#authentication-widgets