> I assume this is done via SITEMAP but how? also what is this called?
No - sitemap contains links to all pages on your site, which helps search engines to crawl/index your site more efficiently. It's up to google to decide to show site links (those 6 additional links you mentioned)
> Do i need to refresh this map by creating and uploading to my FTP sever every time i create a new webpage?
Yes, it's recommended to update sitemap when new pages are added.