I was wondering if is it possible to make same thing by myself, or Search Engines does that by themselves?
I want to add some links like here: 
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Google does this on it’s own and all you can do is to (then) remove some of the links through the Google Webmaster Tools.
They are commonly named Site Links and you can google for “How to get Site Links Google SERP” and so forth – there are thousands of tips for helping Google along.
A clear navigational structure and internal link structure help of course, and consistent anchor texts.