For example, my website is mywebsite.com. On that site I have a page called "countries.html" with a list of countries on it. When a user clicks on the country (say Japan) it brings them to a page, "Japan.html".
I want that Japan page to be under the countries page: mywebsite.com/countries/Japan.html. How do I create that subdirectory in HTML?
You don't.
Assuming you are using static files, you create the directory on the file system of your webserver.
Then you use it in the path for the href
attribute of the link.
<a href="countries/Japan.html">