if you are asking on how to do it with your site, you can use .htaccess to make the urls look like they have their won directories and files.
For esample, if you notice on these forums, this page shows it as:
Best place to Short URL Link ...
however that location does not actually exist on the server, it uses .htaccess to redirect these pages to a master php file and it handles the requests. You can also set php to alter the links coming out of other php files, i cant remember the function, but i know it's possable, that way search engines and such like the url better.
you can also use a third party like
TinyURL.com - shorten that long URL into a Tiny URL