Creating a multipage website without loading

So i am trying to create a website with multiple different pages. I was originally going to just take the traditional route but this website caught my eye: https://anyoneworldwide.com/

Everything aside from the "Choose your location" screen has no loading whatsoever. The URL changes but there is no loading indicator on my tab or "X" on the refresh button (I am using chrome btw)

So my question is; how am I able to use this kind loading technique in a website of my own?