<_< Wow. You clearly need some understanding about what PHP is.
PHP is a server sided script language, designed for web usages, but it can also be used for other stuff. PHP, like Java and Python (and many others), works as a virtual machine, which parses your code and then executes it. Like most other languages of this type, PHP provides a large array of system variables available to you, which are practical for its indented purpose; the web.
In essence, PHP is a standard alone system, which is tightly fitted into your webserver. HTML does not include embedded code, HTML is not a scripting or programming language, but a markup language.
Neither does PHP necessarily include HTML, but it can. Essentially, everything that is not within the <?php ?> tags are considered text to be echoed (printed) to stdout, which your webserver will listen on, and eventually send to the user's browser, which will then render the produced HTML.
But most webservers you can use these days have PHP with them, in case you want to try it out on your machine, you need to obtain a webserver (such as apache) and PHP itself. If you want database options, which most PHP developers usually want, the most used one is MySQL.