Incremental development means that different parts of a software project are continuously integrated into the whole, instead of a monolithic approach where all the different parts are assembled in one or a few milestones of the project.
Iterative means that once a first version of a component is complete it is tested, reviewed and the results are almost immediately transformed into a new version (iteration) of this component.
So as a first result: iterative development doesn't need to be incremental and vice versa, but these methods are a good fit.
Agile development aims to reduce massive planing overhead in software projects to allow fast reactions to change e.g. in customer wishes. Incremental and iterative development are almost always part of an agile development strategy. There are several approaches to Agile development (e.g. scrum).