Changing the links to categories

Hello,

I created some categories, and all my categories links are like that: …/?cat=x (x being the category number).

But I’d like to have the category name, instead of a number. Let’s say the category name is “dogs”, I’d like to have a link like:
http://my-blog.com/dogs or
http://my-blog.com/dogs.html
instead of:
http://my-blog.com/?cat=2

I saw that a lot of blogs are using the category name instead of the category ID in their links, but I wasn’t able to understand how they did that.

Could anybody help me, please ?

Thanks a lot

Best regards