I think Lilium is talking about how sometimes you can just punch in a directory i.e. foo.com/bar, and still get a html page. Or when you 404 on a site, they give you a customized 404 instead of your browser giving you the standard.
I've wondered about that myself, but I haven't tried out anything yet. I think if you put an index page in any directory, the browser will automatically go to that page, but the url display will only show the directory. It works in theory anyways.