Graphics chips need memory to store their frame buffers. For anything but plain text they need relative fast memory. For this reason most 'classic' graphics setups come either as a plug in card with its own dedicated memory, or are build into the motherboard. The last setup often comes in the form of the GPU chip and a dedicated VRAM chip.
Example: Dell E6500 motherboard with an 'on motherboard' GPU and VRAM.
However dedicated memory is not needed. You can do with a portion of the main memory. This is cheaper to build (less parts) and more flexible (you can vary how much memory you reserve for graphics).
The downside is that dedicated memory is often much faster, limiting the performance of your graphics part. This might not matter when you run low intensive things like office programs or text consoles, but it limits performance for gaming.
Still, it is a lot cheaper to use shared memory, which makes it the default on most non performance boards.
Another way to reduce costs is by only sharing the main memory, but also reducing GPU costs. This is done by not using a (potentially high powered) GPU chip, but integrating the GPU functionality into the chipset. Since on-die space was limited the build in graphics was often relative slow.
The chipset in those times consisted of a northbridge and a southbridge, with the graphics part often integrated into the northbridge.
In the last few years this has changed. Both NB and SB have been merged into a single chip called the MCH, and some of the NB functionality has moved to the CPU die. In AMDs case the combined CPU/GPU chip is called an APU and it is tightly integrated In Intel's case it mostly remains a chips with two parts. One part traditional CPU, one part graphics.
The Intel name for this is Intel HD graphics. This is what is being used on your computer.
The driver for your graphics card can assign variable amounts of memory, depending on what is needed. (No need to reserve a lot of main memory, decreasing regular performance and then not using it). This can confuse some programs, which is probably the reason that you get different results when querying with different programs.
To get more information on your on CPU graphics, look up your CPU on http://ark.intel.com/