How to create separate directories for each page?

I’m completely new to this wordpress thing just started yesterday in fact. I’m trying to start making my own theme from learning the themes provided and from there possibly make my own from scratch or with modifications.

I’m starting to get the hang of it and I go to create another page or I guess you could call directory/section of the page. Not the sidebar but actual different folder. I see it a on a lot of websites where you have the menu. The blog is usually the home on the menu and then there’s other sections/directories/folders like about me, contact, biography and stuff like that. My question is how do you make those directories? I’ve created a folder for a directory called bio. But then what next? How do I set it up so that when someone clicks bio for example instead of home or what not where it is example.com/ (or sometimes example.com/blog) it goes to example.com/bio and then loads the same theme so that everything is consistent throughout?

a good example of what I’m talking about is like this page:

http://davidchoimusic.com/blog

notice how the blog is in it’s own section, the bio and other parts are in it’s own directories? I want to know basically how I would create that accomplish that. I’ve been searching around but maybe I don’t know the correct terminology I keep getting pages of how to set up the blog in a different directory.

Anyway any help would be greatly appreciated.