These pages are created with server side scripting and a method called paging.
In ASP you create a recordset and set the number of records you want displayed per page. Then you just put the page number in the URL of each one of those 1..2..3..4.. so when the page is called again, ASP reads the page number in the QueryString and tells the recordset which page to go to.
At any rate, it's all done with server side scripting like ASP/VBScript or PHP or CFM or something like that.
If you put your website on an NT or W2000 server, you can do this without any problem. Now of course, a recordset is a chunk of records returned from a database. So you'll want to get setup with an Access database at a minimum, and I would recommend SQL 2000 for ASP.
ToddWW