Wordpress - How To - Multiple 'pages' in archive

Hi Guys,

Site/page in question is: http://silverfernfit....co.uk/articles

Here is a link to an image of the design that I am trying to create: www.silverfernfitness.co.uk/Image.jpg

Below the recent posts that are listed, you will see 'Previous Page - 1 2 3 4 5 - Next Page' - this is what I'm trying to create.

I don't really have any idea how I would go about coding this page so that when a user clicks on '2' they are taken to the second page of most recent posts and so on with 3 and 4 (obviously depending on the number of posts).

Is it best to have the user go to a completely new page when clicking on a number/previous page/next page or would it be best to keep them on the current page and just have the information dynamically change?

I hope I've explained this well enough so that you understand. I don't expect you to tell me exactly how to do it, but if you could point me in the right direction or just give me an idea that would be great.

Many Thanks,

Ali