lately I see more and more sites with this feature. In single post page you can read other posts too and the url changes at page scrolling (like this one ). Do you mind how it is possible? is there a plugin?
What you are describing is called infinite post scrolling with URL change. The demo you linked to is using AJAX to accomplish that. I have never used infinite post scrolling before - so I can't tell if the website you linked to wrote their own code or used a plugin.
But since you asked specifically for a plugin: those are available. :)
Search the Wordpress.org plugin directory with these four keywords "infinite post scrolling url" and that will help you narrow down the list of available plugins. You can then test them and choose what suits you best.