If you just want to have a directory structure for your normal WordPress posts, you can create a custom permalink structure. Just type something like this in the box on the permalink page: blog/%post_name%
This will show all your posts with the /blog/ prefix and then display the name of the post.
If you want to do this in addition to your normal posts, then you will need to use custom post types. Custom post types allow you to define the slug that appears in the URL just before the title of the post. Here is more info:
Custom post types will allow you to do what you are describing (*for posts*). For example, lets say you created a custom post type called ‘items’. You use the slug ‘items’ for that post type and create three new posts: ‘item-1’, ‘item-2’, ‘item-3’.