Intel System Studio is targeted toward analysis of embedded systems such as phones or tablets. As such it is typical for the analysis to be done on a host system and remotely connect to a target system. So if one uses a windows laptop to analyse results from tests run on a windows phone, then one has a windows target and a windows host. Using the same windows laptop to analyse results from an android tablet would be a windows host and an android target.
Yes, the target and host can be the same machine. If your target platform is a desktop computer or other non-embedded system one would probably be using Parallel Studio XE, but not necessarily.
I am adding Intel System Studio Support matrix article link to get complete information about Host/target configuration - https://software.intel.com/en-us/articles/intel-system-studio-2015-support-matrix