By default, WordPress uses a query variable structure for URLs because it doesn’t know for sure whether or not your system supports URL rewriting. But if your server does support rewriting, you can enable Pretty Permalinks.
Basically, pages change from http://blog.url/?page_id=81 to http://blog.url/page-slug. Posts change from http://blog.url/?p=82 to http://blog.url/2011/05/post-slug.
You can adjust the settings to use whatever URL structure you need on the Permalinks page within WordPress. So yes, it’s something you can change globally.