To give you a general idea, a web page is always an HTML file which defines what all will be on it. This file also pulls in CSS, which defines what everything looks like, and Javascript (not Java), which defines how everything behaves -- what happens when you press a key, or click the mouse. You can find tutorials on developer.mozilla.org; Opera, too, used to have a good teaching site.
If all this is still too confusing, maybe consider a game builder that exports to the web? What kind of game do you want to make, anyway?