Not sure if I understand your question, but I'll give it a try.
A PHP-script can be built using a single file or several files. In a PHP-file you can include other PHP-files (or for example HTML-files).
Something that I do (and many others too) is that I have several functions that I have made and that I often need to use over and over again. Such functions I often place in a separate PHP-file and include them whenever I need them (if you don't know about including
http://no2.php.net/include/).
Point is; you can place all of your PHP-code in a single file or you can separate it in to several files, all depending on how you like it and what the website you're working on demands.