It is only one link by default, so you would need to make the create account link yourself. Just add another link in the header nav section of /includes/templates/your_template/common/tpl_header.php.
Duplicate and adjust the line that makes the login link:
PHP Code:
<li><a href="<?php echo zen_href_link(FILENAME_LOGIN, '', 'SSL'); ?>"><?php echo HEADER_TITLE_LOGIN; ?></a></li>
<li><a href="<?php echo zen_href_link(FILENAME_CREATE_ACCOUNT, '', 'SSL'); ?>"><?php echo HEADER_TITLE_CREATE_ACCOUNT; ?></a></li>
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