I am developing a web page that must be opened in a software that uses the Embedded Version of the Internet Explorer. How does the Embedded Internet Explorer work? Does it come installed with the software I am going to use or it uses the regular Internet Explorer of my system?
By Embedded Internet Explorer I presume you mean this: http://msdn.microsoft.com/en-us/library/ee487632.aspx. It's a part of the Windows Embedded Operating System. We can't tell if it comes installed with the software you're going to use as we don't know what it is or what your Windows Embedded development environment is like.
This page tells you the differences between IE7 and Embedded IE - http://msdn.microsoft.com/en-us/library/gg155886.aspx which may help you test on normal IE7.