The tutorial I gave above gives exact instructions on how to do this, did you fill out the Login text in the template configuration?
The login link is shown on our demo on many pages, it's in the upper right corner:http://www.shape5.com/demo/business_line/index.php/tutorials-menu-48/s5-login-and-register-setup
Note - the login position is in a popup. The Login link simply opens the popup. You need to have the S5 Box published and a module published to "Login" on all pages for the link to work, as explained in the tutorial under step 3.