With one exception, when you look at a web page, your computer has actually sent a request to a remote computer, asking it to send back a specific file, which your web browser then displays. That's the short answer. People often refer to the machine as a server, which it is, but only because it's running a program that serves files . The software that serves files simply sets up the machine it's running on to accept requests for files, which it then looks for, retrieves, and returns to wherever the request came from. Some servers can only handle some kinds of files.
Some servers can only serve files that are stored on the same machine.
There are two important things to remember about servers. First, all they do is take a request for a file, they retrieve the file, and they send it to the requestor. Secondly, the server is actually a piece of software, a program. There are servers that will run on quite modest computers. You can run a fairly decent web server on a PC running Windows 95, so don't get locked into thinking of them as supercomputers.