I don't understand how i can add a "Posts page"?

We use the "Wall" to display out latest blogposts for the "main blog" in our theme. How can i add a "read more" link at the bottom of the page that redirect to a regular loop page? I have tried to create a page and set it to "Posts page" in Wordpress but that doesnt seems to work.

I have also tried to create my own template where i copied the "Index.php" contents and set it to a page but i still cant get a regular list of blogposts ..