There are different ways of connecting to database in PHP. The most general way in use is MySQL extension, which we have discussed here and even everywhere. Well there are two other ways of connecting to database. First one is MySQLi and other is PDO.
Now, question is what is the difference? So, the difference is MySQLi is MySQL improved. As name states, it is improved version of the MySQL extension. It uses both direct function which we use in MySQL extension and the object oriented way of implementing the same. So if I would be using MySQLi, I would choose OOP way. But MySQLi extension is only for MySQL. It is more secured if we use it in OOP way like it eliminates the threat of sql injection.
PDO is more generic because through it you can connect to different type of database by changing just the name of the database you want to connect. You can connect to MySQL, MS SQL, PostgreSQL, SQLite and many more. So it is more generalized, as you will not be needed to change the function call and other things. All you have to do is change the connector name, this is the term which is used for software that connects application to database. It is also based on the OOPs the concepts, which makes it easy to use.
PDO and MySQLi have very much the same way of implementation. Moreover MySQL extension is being maintained and can be deprecated in near future. While the other two are in active development.