you can't do that on a normal html page. I advice you to copy the whole code into a phpfile and add this piece of code where you want to show the latest thread.
<?php
require "forum/global.php";
$query = mysql_query("SELECT * FROM ".TABLE_PREFIX."threads WHERE 1=1 ORDER BY dateline DESC LIMIT 0,1");
$thread = mysql_fetch_array($query);
echo '<a href="forum/showthread.php?tid='.$thread['tid'].'">'.$thread['subject'].'</a>';
?>
The part after echo is a normal html link. You can always change the html a bit, but I advice you to keep this link intact.