It's an integrated chip in your CPU. Basically, most Intel CPUs have them and they are embedded inside the CPU, making it so you can use it to get a signal on your monitor when you plug an HDMI Cord into your motherboard. With a kaby lake CPU, you would get Intel HD Graphics 630. It depends on what Generation your intel CPU is though.
I would not recommend them for heavy gaming, though. They are ok for light gaming (i.e Minecraft, Garry's Mod, Counter Strike) and you would get something like 50 - 70 FPS. Although, they will not be able to play most of the recent and upcoming titles that are power hungry (For Honor, Watch Dogs 2) at good performance.