A self-tapping screw can drill it’s own hole. The design of the screw allows this with breaks in the thread on the screw to create sharp edges to cut the material away and create a thread in the material for the screw.
Self Tapping Screw
The thread can be found externally and internally. The external thread would be the ridges found on the screw itself while the internal thread would be found on the inside of the object the screw is fastened to. A nut (internal) and a bolt (external) is a good example of this. The threads are also referred to by gender with the external being male threads and the internal being female threads.
Male and Female threads.