In previous versions of SharePoint, linking directly to files was...painful.  The link spelled out the entire path to the document.  While this helped you to understand where the document was stored...if it were to moved then that link would be useless.  In SharePoint 2010, this has been resolved with the Document ID feature, which allows for Persistent Linking to documents.

The Document ID feature adds a new column to all document libraries in the site where the feature is activated, and then assigns a random string to each document.  For example...

http://MySharePointSite/SharedDocuments/FolderLevel1/Subfolder 1/MyDocument.docx

becomes...

http://MySharePointSite/_layouts/DocIdRedir.aspx?ID=TESTDOC43242-1-1

If you look at the end of the 2nd URL, you will notice 'TESTDOC' at the beginning of the Doc ID.  This is configurable.  SharePoint can generate a completely random ID or a prefix can be defined in Site Settings.