"index", or "index.html" is the default name for a webpage given when a user sends an HTTP request to some web servers at a given path, but does not include the entire path to index.html. Essentially, the web server responds to the user's HTTP request to the URL by running a script that returns the HTML file at path/index.html. This is because although URLs can contain a directory path, which they often do, they can also be interpreted differently by the server to perform various other functions. Notably, web servers such as Apache will return "index.html" as a default for a given path, but other web servers like Microsoft's .NET use "default.html" instead.
In the web browser's Web Dev/Inspector Network tab, you are able to see the various resources that are requested when loading a webpage. In browsers like Microsoft Edge, which I am using, you can also see a Waterfall diagram of the response time to load the individual resources. By selecting one of the resources, you can also see the HTTP request and HTTP response associated with that resource. When viewing a file on your local machine, one of the main differences is that the scheme that is used is the "file" scheme, versus the typical "http" or "https" schemes when browsing online. In addition, the request and response headers contain very little information since they are not needed when interacting with the local filesystem. Also, when a file is not found on the local filesystem (such as the main.css and main.js files), there is no returned status code whereas a web server would probably return a Status 404 Not Found.
"favicon.ico" is an icon file - usually located on the root path of the web server. When a webpage is requested from a web server, the browser will also request "/favicon.ico" if not supplied by the webpage or web server. In this case, favicon.ico returns Status 200 OK because the "web.engr.oregonstate.edu" domain contains the favicon.ico in the root folder. The 200-299 status codes are returned only when a request to the server were successful. However, for the "main.css" and "main.js" files, those do not exist in the path relative to this webpage on the server and no defined default behavior of the server to return, so they both return Status 404 Not Found. Status codes between 400-499 are meant to relay messages back to the user and web browser when a request fails due to a client error, meaning that the server is functioning normally but there was an issue with the request.
The entire URL to this webpage is "https://web.engr.oregonstate.edu/~henselj/a1-henselj/index.html". This URL is comprised of a scheme, subdomain, host domain, and the resources. Here, the scheme is https, the secure and encrypted version of the Hypertext Transfer Protocol (HTTP). The scheme directs the web browser how to communicate with the web server and since no TCP/IP port is specified, it assumes a default port of 443. The subdomain is "web.engr", and the host domain is "oregonstate.edu". Together, the subdomain and the domain are sent to a DNS Server and the IP address of "web.engr.oregonstate.edu" is returned to the browser. The resources being requested from the server are "/~henselj/a1-henselj/index.html". Once the resources are specified to the web server, (in this case) the server responds to the user with an HTTP response and the contents of the index.html file that is located at that path.