How to make an 'Index of' page?

[LEGO - MAN]

I've noticed that if you delete part of the end of some site URLs, the it comes up with a page something like this.
How do I get one of these pages, and can the main part, as in, the links, be shown on a different page?
I'm asking this because it's the only way I can think of that would update automatically update if a new file was added to the folder on the server.
Also, is there another way to do this, maybe easier?
Thanks.
(PS. ask me to clarify if this doesn't make sense)

[boogyman]

this is done by creating all of those file in a folder, but not putting an index page in the folder so when the person types in the address to the folder instead ofa file into the folder it pops up l;ike that... because the index.(extension) if present will always be the default!

[Twey]

How do I get one of these pages, and can the main part, as in, the links, be shown on a different page?

No, but you can modify the listing page. The location of the template varies with server and distribution.

Also, is there another way to do this, maybe easier?

That depends. Do you have any server-side languages available on your server?