Do you use multiple html file for multi-page websites?

TL;DR: Do you use multiple html files for multi-pages website?

I started learning HTML and CSS, I have worked with WordPress in the past but there wasn’t a lot of custom code or whatever with what I was working on before. I have also studied basic JS as one of my course in my multimedia studies, but again, I was never really inclined to pursue development full time so my knowledge would be at best, of a beginner.

I’m still on my second week of learning html and css, and aside from following a course, watching other people code, I’ve also started doing these challenges from Frontend Mentor.

Here’s what I’ve created so far, this is not mobile-responsive yet as I am still very early in learning css, and still got a lot a long way to go.

enter image description here

My question is that, how do you create multi-pages websites? Do you create multiple html files for each page and link them? Or is everything inside a single html file? I’m not quite sure if this got mentioned in the course that I am watching but there was a part in the course when the mentor clicked on one of her links and changed the content of her website (much like went to another page), which got me kind of confused, on how did they do that exactly? Does it have to do with the visibility and display? If you could point me to any additional resources as well, that would be great!

I’m sorry if my question isn’t articulate enough but here’s the course I am following for reference.

https://youtu.be/TdqQqyc7pfU