what should server do when user open a sub page

I'm developing a web server but I'm a newbie so I have a basic question.

Imagine that on the index page, there are many countries. If user clicks on some country, a new page should be opened. Obviously the content of new pages depends on the clicked country.

For example, the url of index page is: www.mysite.com
When I click on France, the url of new page is: http://ift.tt/1AD5jcC

I just want to know that what should the server do in this case.
I mean when user clicks France, the server receives the string France, then what should it do? Need it generate a whole new page? Or it just need to send the message to the page France.html so that user can visit the new page? If so I'm considering that I need to create many new pages because I have more than 150 countries...

Is it possible to generate only one page, which can take messages coming from the server and show them?