This probably a really stupid question - What do you call this on a page and how do I make it happen?? I can't seem to find it.

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Thank you

I have no idea what you are referring to.

I am referring to the Home » WordPress Themes » Atahualpa 3 Wordpress theme »
that is above the page title and below the menu on this forum page.

It's like a navigation bar showing where you are but I can't seem to find out how to make one appear in my website.

That's called breadcrumb navigation. You can do a search for a pluging at wordpress.org.

Thank you very much!