I had a hard time understanding the concept as well at first. I believe this is how it works:
Pages in WordPress are virtual. They are not some file that can be found in a directory on your server like an *.html file.
When using html, you could have hundreds of *.html files all over the place.
Your "pages" in WordPress however, are stored as entries in your database.
In WordPress, you can create 1 page template, and have fifty virtual pages use that same template.
When you click on a page link wordpress goes to the database, gets the text that is stored for that page, and sends it to the template to be displayed.
Once you understand that, everything else starts to fall in place.
At least it did for me.