If you are not using a CMS, like Wordpress, or any server-side processing, like PHP, it can be done very simply using directories as I described earlier, it’s not complex at all. It’s just a folder, named for the page URL, containing index.htm, easy.
If you are using php, you can still do exactly the same thing, or you can use variables, just like Noppy describes.
If it’s WP, then WP can take care of it like Mittineague describes.
One advantage of doing this is that if you change how the site works in future, you don’t need to worry about redirects or screwing up your indexed pages. So for example, if you changed from using html to php, the urls remains the same.