Many web servers will have a ‘default document’ that is returned when you specify just a path and no file name. So browsing to
http://example.com will return the default document from the document root directory of that domain.
Quite often the default document can be named index.html, index.htm or -if PHP is installed- index.php, but they can be other names as well, depending on the configuration.
Some sites are built up from many actual html files, while other, more dynamic sites usually look like they consist of many html pages, but actually they just have a single entry page (like index.php) that handles all requests and generates output based on the url.