Well.... yes. Depends on your server (consult its documentation) and see how you can configure it to rewrite URLs (under Apache its the job of mod_rewrite). A Google search on rewriting URLs is also useful at this point.
The thing to remember is that a URL is not a filepath. It is the web server's job to turn URLs into filepaths, and there's no law that says http://www.example.com/dir/subdir/file.html has to be in a directory called /www/example.com/htdocs/dir/subdir/file.html on the server. Probably is, but it doesn't have to be.