Login in the Header of the Theme

When a user is logged out there is an "already a member - login here" option in the Header of the Theme.

When a logged out user click on this the user get the following message: "Sorry, we can't find the content you're looking for at this URL. Please try selecting a menu item from above or to the side of this message to get where you'd like to go."

The URL in the browser is http://mainsite/you-must-create-a-log-in-page

How do I do this?

(The other login options all works)