How can I modify the Appian login page?

If you have access to the admin console there are many options for logging in, add a "/admin" instead of "/designer"

You can change the look and feel under System >> Branding. Terms of service, if enabled, can be edited under Authentication >> Appian

I need to add something to the page like a link for example. How I can do this?

Not that I am aware of. You can however direct the user to a specific internal page after they log in under System >> User Start Pages

Be conscious that User Start Pages only apply where the users logs into:
subdomain.appiancloud.com
If a user goes direct to another page such as:
subdomain.appiancloud.com/.../all

the Start Page does not apply.

You could provide the URL of a record or a report in the User start pages, and in the interface of that particular record or report you could add a link using the a!linkField() in the SAIL interface itself.

You would need to modify the Appian product files to achieve this and Appian doesn't recommend to do so. Better you could think to write a servlet plugin which will hold all your custom logic to check loggedInUser authentication and other files such as html, JS etc and deploy it to the plugin folder. Have a look at Developer site: forum.appian.com/.../Developer_Guide.html and API : forum.appian.com/.../