There is some useful posts on this blog site: http://mxblog.eu/, Which is built using Mendix. It contains a few forum posts on how to use the deeplinks and make these links SEO compatible. It also has a share functionality which would allow you to share your particular pages.
If you actually want to change the url then you need to use the history API, but at the moment I don't believe there is an easy to use widget for this. You would have to write some custom javascript.
Simon