Shorthand for empty line or \\ \indent

\\ produces a line break. \par produces a new paragraph. Inserting empty line between two lines produces a new paragraph.

Furthermore, \\ does not justify the last line before. If you want so you can use \linebreak.

The page that you refer to is simply incorrect, you should not believe everything you read on the internet. The standard way to end a paragraph in TeX is to use a blank line, the command sequence \par is also available but not usually needed in documents, it is more useful in code sections.

If you are typesetting a structured text such as a dialog or poem etc, it usually helps to use more focussed markup than just using blank lines and paragraphs. For example

\begin{dialog}
\item[Mr. H] How do you make a paragraph?
\item[Random Website] Use \verb|\\|.
\item[Sigur] Use a blank line or \verb|\par|
\item[David] You may want to use a list structure rather than paragraphs.
\end{dialog}

It's a feature of a markup system like LaTeX that you can choose the markup you want independently from how you want the result to be typeset. A simple implementation of the above would be

\newenvironment{dialog}{\description}{\enddescription}

But other definitions could produce other layouts from the same input.