The GPU processes the video data. It may be incorporated into the motherboard, or on a discrete video display adapter card. So, if a computer is advertised that it has a GPU and not video card then it has a GPU incorporated into the motherboard. On top of that, a motherboard with a GPU built in it will usually have a PCIe port so that you can install a video display adapter (graphics card) and not use the on board GPU.
The thing about computers with integrated graphics is that the performance is a little lack luster. If you want gaming performance you should install a separate, high performance, graphics card.
Newegg has a youtube video with lots of good information.
Newegg TV: How To Build a Computer - Part 1 - Choosing Your Components
Newegg TV: How To Build a Computer - Part 2 - The Build
Newegg TV: How To Build a Computer - Part 3 - Installing Windows & Finishing Touches