PHP stands for "Hypertext Pre-processor" also known as server sided language and probably the most popular scripting language on the web. You can use it to enhance web pages by creating username and password login pages, create forums, picture galleries and a lot more. PHP doesn't get executed on your computer, but on the computer you requested the page from. The results are then handed over to you, and displayed in your browser.
One more question arises that why PHP stands for "Hypertext Pre-processor" rather than making it HPP. The reason is, the initials come from the earlier version of the program which was called "Personal Home Page" tools, so you get PHP in right order.