```php
<?php
$servername = "localhost";
$username = "your_username";
$password = "your_password";
$dbname = "your_dbname";

// Create connection
$conn = new mysqli($servername, $username, $password, $dbname);

// Check connection
if ($conn->connect_error) {
die("Connection failed: " . $conn->connect_error);
}

$sql = "SELECT message FROM messages";
$result = $conn->query($sql);

if ($result->num_rows > 0) {
// output data of each row
while($row = $result->fetch_assoc()) {
echo "Message: " . $row["message"];
}
} else {
echo "0 results";
}
$conn->close();
?>
```

Now, create an HTML file to display the message retrieved from the database using PHP:

```html
<!DOCTYPE html>
<html>
<head>
<title>Hello World</title>
<link rel="stylesheet" type="text/css" href="styles.css">
<script src="script.js"></script>
</head>