Dynamic URL's (index.php?=ID=...etc)

Does anyone knows how to use “dynamic links”, or “dynamic url’s” like:

www.myweb.com/contact.php?something=something=…etc ?

I have seen that some pages (specially big ones) include this kind of links. But… is really effective to do this? Why not make a lot of .php files?

I think this is how it works:
A variable value pass to the page dynamicly from the URL, then the PHP code include this page using GET or something…

I will appreciate any tutorial link or anything about the subject.

Thanks.