page links do not work

I am using Expressions theme.
If I copy the short link for a page, then try to use it as a link, it does not work. If I then go to site/page, that also does not work.
My menu works, I can go to any page on the menu without problem.

I could not understand why I could not go to site/page in either IE or Firefox. So I went to the server [using FileZilla], to see where the pages are located. But the pages do not seem to exist either in the root site folder, or any of the WP folders.

Can someone explain to me where the pages are actually located, and how to create a link so I can use that link, for example, in a Youtube video?
I expected to see the files directly in the site root location, including each page. But that is not the case.

I will really appreciate any guidance given.