http://en.wikipedia.org/wiki/HTML (Look at the contents part)
To make those, we use the anchor tags and link 2 anchor tags together,
These tags are also used in the body part of the document...
<a name="Step 5">Step 5</a>
<a href="#Step 5">Jump to step 5</a>
The first tag tells that the text Step 5 is anchored to the document with the name of "Step 5"
The second tag is the link tag which makes the text "Jump to step 5" a link that links to the Step 5 anchor we made before...
Using this tag is an absolute necessary for websites which state lots of information like Wikipedia :)