DNN Login page is not a page, rather its a control. You have a couple options:
1) Create a custom login page. If you go to Admin > Site Settings > Advanced Settings > Login Page you can have a custom page with the login module.
2) Put the menu in the skin and change the skin for the login page to one that includes the skin
3) Modify the login source (below assumes your using DNN Authentication Provider). Below are the files you might need to modify:
Home/ctl/Login.aspx - Login Module Container
/admin/Users/user.aspx - User Page
/admin/authentication/login.aspx - Login Page
/httpdocs/admin/Authentication/Login.ascx - Login Control
/httpdocs/admin/Authentication/App_LocalResources/Login.ascx.resx - Login Resource Page
/Portals/_default/default.css - Stylesheet
/DesktopModules/AuthenticationServices/DNN.ascx - DNN Login control