Changing url ID to show what I want it to be

What I am trying to say, is that I want my page, if I click on About me or something, that the url says: mydomain.com/about/. I have seen it done on various sites. Also, I have seen that they can also place their categories in literal categories and not ids. Example, if you’re clicking to go to a category that’s talking about sports, it says thedomain.com/categories/sports. How do I go about doing this with my page?

Hope someone can help me. My page is already up and running and I have alreaady posted posts for a while now, just am tired of seeing how amatuer that looks, compare to other blogs.

Thanks again.

An example: here