At the end of this nice video (https://youtu.be/XiHVe8U5PhU?t=10m27s), she says that electromagnetic wave is a chain reaction of electric and magnetic fields creating each other so the chain of wave moves forward.

I wonder where the photon is in this explanation. What is the relation between electromagnetic wave and photon?

Both the wave theory of light and the particle theory of light are approximations to a deeper theory called Quantum Electrodynamics (QED for short). Light is not a wave nor a particle but instead it is an excitation in a quantum field.

QED is a complicated theory, so while it is possible to do calculations directly in QED we often find it simpler to use an approximation. The wave theory of light is often a good approximation when we are looking at how light propagates, and the particle theory of light is often a good approximation when we are looking at how light interacts i.e. exchanges energy with something else.

So it isn't really possible to answer the question where the photon is in this explanation. In general if you're looking at a system, like the one in the video, where the wave theory is a good description of light you'll find the photon theory to be a poor description of light, and vice versa. The two ways of looking at light are complementary.

For example if you look at the experiment described in Anna's answer (which is one of the seminal experiments in understanding diffraction!) the wave theory gives us a good description of how the light travels through the Young's slits and creates the interference pattern, but it cannot describe how the light interacts with the photomultiplier used to record the image. By contrast the photon theory gives us a good explanation of how the light interacts with the photomultiplier but cannot describe how it travelled through the slits and formed the diffraction pattern.
