The Views module in Drupal is both useful and confusing. The basic idea is that Views will allow you to provide a styled list of some content. This content can be pages, stories, blog posts, comments, users, RSS feeds items, nodes and even some other kinds of data. You can think of it kind of like those generic examples of PHP and MySQL that pull out a bunch of records from a table and just give you a list. Except that it doesn't rely on just MySQL. And it doesn't just give you a list. And it does validation. And you don't really have to write any code.
The Views interface in Drupal 6 (under Administer >> Site Building >> Views) is pretty complicated. I don't understand all of it yet, so I decided to work through an example of something that I needed here on Late Night PC. There's a view included called "archive" which shows up at example.com/archive/yyyymm. This is pretty close to the way I was doing my archives under Wordpress. My archives page URLs had the form latenightpc.com/blog/archives/yyyy/mm. So I basically wanted the archive view with these changes: