How does windows link html files to folders?

This is a shell feature, not a file system feature. The shell copy engine just looks for a folder with the same name (plus a localized suffix) when copying/moving .htm[l] files.

This feature is called Connected Files and is documented here.

If people are stuck and ended up here to find how to unlink, here's an easy trick : on Windows 10, I couldn't find how to unlink a .html file from its associated media folder, so I deleted both of them, and in the bin I restored only the .html file and it was then restored and unlinked from its folder.

It's a built-in linkage in Windows.

Open up Explorer (not IE, Windows), Tools, Options, View, then in Advanced Settings there'll be a "Managing pairs of Web pages and folders" section.