You will have to make sure you have authorised a connection between the sandbox and production too, which involves going to the "Deploy" - "Development Connections" menu item and selecting to accept inbound change sets on the production instance, otherwise when you create a change set in the sandbox, you won't have any options for where to send it.




Once you are created, you can create a change set in the sandbox and you must then specifically add the files you want to promote to it... you do this one "type" at a time (so in your case you probably just want to add "Visualforce Pages" from the drop down) - remember anything else the page is dependant on needs to be on the production server too (if you have added any fields to objects etc. but it doesn't sound like you have)

You then click "upload" - which locks the change set down and sends it to the server, all tests are run, and if they pass your changes reflected. There is a cool new screen that documents this process (though the visuals can sometimes go a little wonky).

If you change set fails, you must work out why (missing dependancies or failing tests) and then Clone the original change set, add any changes and re-promote (ad infinitum!)