What are tendons made of specifically
As you correctly say, tendons are made up of collagen fibers. Collagen is one of the most important proteins (or, to be more specific, family of proteins, as there are many types of collagen) forming connective tissue in the body.

Collagen molecules have a particular structure that allows them to form long fibers, composed by three different strands that form a triple helix. This is a schema of a collagen helix (each ball represents one aminoacid):


(source: Wikipedia)

These helices can then be bound together to form a collagen fiber, through the action of an enzyme called lysyl oxidase which binds two lysine residues from two different helices together (lysine is one of the aminoacids that makes up collagen).

Here is a scanning electron microscope of a collagen fiber:


(source: Science photo library)

Collagen is secreted out of the cells that produce it so, although there may be cells around the collagen molecules, it is important to understand that it is part of what is called the extracellular matrix, the extracellular structure that supports the cells in our body.

As for the photo you linked, it is an hematoxylin and eosin (H&amp;E) stain of a tendon. Hematoxylin colours cell nuclei in dark blue, so the dark spots are definitely cells.
The pink "waves" are indeed collagen fibers, the cells are probably the tenocytes, the specialized fibroblasts of the tendon, which produce the collagen.