I want my domain name to show in the address bar with page numbers

[#1]

At present my site shows http://www.myname.plus.com/abc/page14.html etc
I have a domain name abc.org.uk. When I change the settings with the domain company to 'Framed web forwarding' it shows abc.org.uk for every page, there are no individual page numbers.
From looking it up I think I have to use something called DNS, and they offer A, MX. CNAME, TXT, I have no idea which one to choose. Could anyone please point me in the right direction?

[#2]

Apologies in advance if I've mixed this up...
I think you want "Hosting only" transfer as shown here: http://www.plus.net/support/hosting/domains/domainin.shtml
Incidentally I think you can ADD the plusnet DNS servers as the third and fourth entries, leaving the original DNS as first and second, complete the transfer process, then move the plusnet ones to the top after. If it works it prevents downtime.
Removing the old DNS entries before the new ones are active can give you a few days downtime. That's how I did ours because we'd fallen out with the previous host.

[#3]

Many thanks, Oliverb.
I've checked and there is a place on the control panel (with 123-reg) to do that. So I put:
   * ns1.force9.net
   * ns2.force9.net
as the third and fourth entries as the name servers. Then I move them to the first two entries when the transfer is completed (how will I know when the transfer is completed?) It says I will be prompted for an IP address, where would I find that?
Is that all I have to do? When that is done should I expect to see 'www.abc.org.uk/page 1' etc in the address bar for the various pages? And you think I may have no down time at all?

[#4]

You have to go to the help assistant and I think you have to raise a ticket to get them to add it to your list of domains, it takes manual intervention. Once its listed there the transter should be complete. As far as I'm aware Plusnet won't add a domain unless the domain records show their DNS servers, I suppose its their way of checking you really do control the domain.
With the old DNS servers at the top they should return the IP address of the old host. With plusnet DNS they should return the IP of the plusnet webserver. You can verify this with a tool like Sam Spade which allows you to make DNS lookups against a specific server.
If that doesn't work then try removing the old DNS and only having plusnet DNS servers, but the drawback with doing that is that in the time between you changing the server and plusnet configuring hosting any lookups will fail. I'd expect 1-2 days of downtime that way. If the downtime doesn't bother you then its probably simpler.