If you want to give your pluging an options page,you must set a administration menu or options sub menu. Some manual can find it on wordpress.org.
OK,to add an administration menu, you must do three things:

1. Create a function that contains the menu-building code
2. Register the above function using the “admin_menu” action hook
3. Create the HTML output for the page (screen) displayed when the menu item is clicked

It is that second step that is often overlooked by new developers. You cannot simply call the menu code described; you must put it inside a function, and then register the function.

Here is a very simple example of the three steps just described. This plugin will add a sub-level menu item under the Settings top-level menu, and when selected, that menu item will cause a very basic screen to display. Note: this code should be added to a main plugin PHP file or a separate PHP include file.

< ?php
add_action('admin_menu', 'my_plugin_menu');

function my_plugin_menu() {
  add_options_page('My Plugin Options', 'My Plugin', 'manage_options', 'my-unique-identifier', 'my_plugin_options');
}

function my_plugin_options() {
  if (!current_user_can('manage_options'))  {
    wp_die( __('You do not have sufficient permissions to access this page.') );
  }
  echo '< div class="wrap" >';
  echo '< p >Here is where the form would go if I actually had options.< / p >';
  echo '< / div >';
}
?>

Now,you looked this example, the function, my_plugin_menu(), adds a new item to the Administration menu via the add_options_page function. Note: more complicated multiple menu items can be added, but that will be described later. Notice the add_action line–that invokes the hook which “registers” the function, my_plugin_menu(). Without that add_action, a PHP error for “undefined function” will be thrown when attempting to activate the plugin. Finely, the add_options_page code refers to the my_plugin_options() function which contains the actual page to be displayed (and PHP code to be processed) when someone clicks the menu item.

The actual detail of these processes is described in more detail in the sections below. Remember to enclose creation of the menu and the html page in functions, and invoke the admin_menu hook to get the whole process started!
—//some code and english manual copy from http://codex.wordpress.org/Adding_Administration_Menus—
if you want to set an administration menu,you can see it..