Basically once the PHP script has finished running and printed (echoed) all the html content to the browswer then it stops running.
Essentially if you are clicking on a web page then that can either call a new page via a form POST or a GET OR maybe javascript can handle the click. And then that Javascript can perhaps perhaps trigger a new request. And that new request can call a PHP script which performs whatever task you want it to.
So if you click on an <a href='action1.php?param1=yes'>Click here</a>
link then that will call the script action1.php (with $_REQUEST['param1']
set to 'yes'
) on the webserver and the webbrowser displays anything it returns. And that new html replaces all the html currently in your browser window.
OR if you have a form:
<form action='action2.php' method='POST'>
<input type='text' name='stuff'>
<input type='submit>
</form>
And you click on submit then again the webserver will be called but this time the script action2.php will be called with $_POST['stuff'] set to whatever is in the text field. And whatever the script returns will be what is displayed in the browser.
Now if you want to click on something in the browser and just change something small on the page or just perform some action on the server then you should probably investigate AJAX handlers and jQuery in particular
Good Luck.