Let me try to answer this with some examples:
Alfresco page
To create an Alfresco Share page (you use share?), you need to create three files:
<TOMCAT>/webapps/share/WEB-INF/classes/alfresco/site-data/pages/my-page.xml
<TOMCAT>/webapps/share/WEB-INF/classes/alfresco/site-data/template-instances/my-page.xml
<TOMCAT>/webapps/share/WEB-INF/classes/alfresco/templates/org/alfresco/my-page.ftl
The first one defines your page, the second one defines what components (dashlets) you will use on the page, and the last one is a HTML template (in Freemarker) arranging your components.
The first two files are XML, a bit alfresco specific, but simple XML, and the last one you could put static HTML and it'd work, or you could put some freemarker macros.
What is in each of those files (examples), you can read on this page, written specially for you and this question :) (Don't ask, I felt like writing about it)
No authentication
To not use authentication, you can just put <authentication>none</authentication> in the page definition file (the first XML file).
Dashlet files
Basically, a dashlet can be at the minimum two files, usually 4-5 or something like that. The dashlet.get.desc.xml file signifies two things: desc.xml part says it's for a new component (dashlet), and get part says this component will answer to HTTP GET calls.
is usually placed somewhere bellow /webapps/share/WEB-INF/classes/alfresco/site-webscripts/org/alfresco/components. Doesn't really matter where bellow, but you would want to put it in some folder to manage all your code easier.
This file contains one important thing: url. Url defines what url your dashlet will answer to. And when you defined your page in the page definition above, you would put this url there to access the dashlet.
You could even access the dashlet directly, using the link http://localhost:8080/share/my/url/to/dashlet.
The other file, dashlet.get.html.ftl is, again, a freemarker template file. You put HTML there. You can also have a controller file for the dashlet, dashlet.get.js which prepares some dynamic content (it is written in server-side javascript and has access to some of Alfresco Javascript API).
Finally, you can put some internationalized text (translations) into bundles (basically, dashlet.get.properties, dashlet.get_DE.properties, dashlet.get_ES.properties etc, by browser lanugages).
There are also options to include client-side javascript or css files to this dashlet.
To see how exactly to assemble all this, you could try reading this page. Probably not really a good read, but it will hopefully clear some things up.