I'm new to Marketo, I had a hard time finding this information, so I wanted to post this for any other newbies to save them some time.
To set up your unsubscribe page for email, it's already created for you in the Design Studio, under Landing Pages. (You can customize the page.)
To enable the Unsubscribe page to work, you have to Approve the page. Then the unsubscribe link in the emails will go to this page.