Web Design Basics

Very differently.
jQuery is javascript. I assume you already know how to use functions and things in javascript.
jQuery is just a big collection (called a library) of javascript functions that do commonly useful things (like sending data to a server or creating draggable elements on a page).
To use it, you load the jquery library using a regular <script> tag. You can then use jquery code in other script tags exactly as you would use regular javascript code.

PHP is a different language, and php runs on a server. Whereas a html document basically is what the server sends to the browser, a php script tells the server how to make what to send to the client. Often a php script looks a lot like a html file in its contents, and then it has a weird bit of code saying to put something at a certain point which is customized for the user.
If you have a server and it supports php, then if you call for the php file the server will run it and send the result to the browser. If you just double click a php file in windows, however, because there's no server to run it, you'll get weird code appearing.
If you don't have a server, you can run one on your computer for testing using WAMP.