Dynamically created pages

Hi all, I am quite new to WP and am building a property website for a client. Here is some background. The website will list properties (about 40,000). The Menu is divided into 6 parts i.e 1st menu item “Properties in Spain”, 2nd Menu item “Properties in UK” etc. When one of these items is clicked, the user is taken to a page where it lists the relevant properties. Each property listing is selected from a property DB. The DB has property info like “bedrooms”, “Bathrooms”, “Price” and a “slug” for the property. Each property has a small description and a “More Info” button.
What I am unsure of is how to make the browser go to an individual page after clicking the “More Info” button for each property, and have the slug shown in the address bar.
The site is being based on www(dot)MarbellaMansions(dot)com. I know I cannot create an individual page for each of the 40k properties. Does anyone have any idea of how to achieve this? Or can you point me in the right direction of study material. You would be saving my life.
Thanks so much in advance.