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Just like the page title the web page name like should incorporate the web page keywords, not just because it will improve the ranking, but also because it gives the page meaning to yourself when editing and the potential visitor when he sees the page name in a link.
Generally, the web page name should be either the same or very much like the page title with dashes separated the words instead of spaces. So if the web page title is Web Page Names the page name would be Web-Page-Names.
All search engines treat a dash as a space and so see the page name as separate keywords.I do not use underscores as some search engines would see the web page name with underscores instead of dashes as one long continuous name e.g makingafreewebsite and not as separate keywords.
Web Page/File Extensions and Case
File extensions are used on Microsoft operating systems i.e. WINDOWS to associate a file with an application a .doc extensions associates the file with Microsoft Word, a .txt with Notepad a .htm with Internet Explorer.
These extensions were previously limited to 3 characters but that has changed since the introduction of windows NT in the mid 90s. However on windows systems 3 character file extensions are the norm.
Unix or Mac systems don't use file extensions like windows but even on these systems file extensions have become norm.The use of file extensions has carried over to the Internet, and the common convention for standard web pages on windows systems is .htm and on Unix/Linux systems is .html.
Also, on the Internet the file extension is used to differentiate a normal HTML file from a script like PHP or Active sever Pages. Even on UNIX or Linux which don't strictly speaking use the file extension internally, it has become convention to use the file extension for deciding on how to process/present web pages.
If a Linux or windows web server sees a .php file it will have it processed by a php interpreter before sending, if it sees a .htm or html file it just sends it as is.
Although it is a convention to use .htm on windows systems and .html on Unix based systems, it is not mandatory. Which extension you use is really up to you but I prefer .htm because it is shorter. Your ISP may tell you what to use (very rare) and then you have no choice.
Regardless of your choice it is important to remain consistent with all Web pages.There are many other file extensions in use on the Internet like: php, asp, xhtml, pl, cgi, exe, gif, jpg etc. It is important to use the correct file extension so that the pages are processed correctly by the web server and the web browser.
Case Sensitivity
Microsoft operating systems are case insensitive which means that INDEX.HTM and index.htm are the same file. Windows systems do however preserve case. UNIX/Linux systems are case sensitive and so INDEX.HTM and index.htm are two completely different files.
It is common on the Internet to capitalise the first letter of each word in a page name and so a page called web page name would be: Web-Page-Name.htm or Web-Page-Name.html.
As you may be unaware of the type of operating system your host is using or you may decide to move hosts in the future treat all files as if they were case sensitive.