Hello Steven,

The feature you refer to is known as 'sitelinks' and is generated automatically by Google at their discretion.  They will automatically do so if they think your website is large enough and/or internet users would benefit.

You have some control over how the sitelinks appear.  See the following article for further information:

https://support.google.com/webmasters/answer/47334?hl=en

Best regards,

Paul