Isn't there an easier way to do this without having to set up a databas

Isn't there an easier way to do this without having to set up a database and use PHP?

In other words, similar to the embed HTML used for the original form? An iframe?

Actually this is an advanced feature. You need to know programming with PHP or some other server side language to use it, because it just posts the data entered on the form to the Thank You page on your own site so then  you can use server side programming (PHP, ASP, etc)  to process the order on your own database.