How to create url dynamically loaded pages?

I notice a lot of sites with this loaded AJAX "#!" URL structure, like twitter: (https://twitter.com/#!/apolinariosteps), but I could not find it documented (I did not notice to know what to look for )

I'm not sure if this is a solution (but I still want to know how to do it), what I want is that when I load some content in jQuery, it causes the URL to change in some way so I can share the page with a link to specific content.

Thanks in advance