By looking at the source of the page, we can only guess as to which of the many methods was used. It may appear that only the bottom content updated between page, but actually the entire page updates, and the headers are the same on all the pages.
Either the code behind the header was hand copied onto each html page, or the header is added to each page using an include (in php, asp, etc...).
This is a great page to learn from. Look at the source, steal the .css file and use it to learn how the html works. You can later ask around and see how this could have been done in php.
Well its easy using frames. In one frame you load the menu and in the other frame all the stuff that relates to the links . Well sure as separate html files. I mean you can open other html files in the frames. So try doing it with frames.