A lot depends on your definition of [itex]\mathbb{N}[/itex]. But if we take the usual set theoretic definition, then the inclusion is indeed true.
What is the set theoretic definition of [itex]\mathbb{N}[/itex]? It goes as follows:
Define [itex]0=\emptyset[/itex]
If [itex]0,...,n[/itex] are defined, then define [itex]n+1=\{0,...,n\}[/itex]
Define [itex]\mathbb{N}=\{0,1,2,...\}[/itex]
Now we can check that [itex]\mathbb{N}\subseteq \mathcal{P}(\mathbb{N})[/itex]. First of all, [itex]\emptyset[/itex] is a subset of [itex]\mathbb{N}[/itex] and thus [itex]\emptyset\in \mathcal{P}(\mathbb{N})[/itex]. Furthermore, [itex]\{0,...,n\}[/itex] is a subset of [itex]\mathbb{N}[/itex], and thus [itex]n+1=\{0,...,n\}\in \mathcal{P}(\mathbb{N})[/itex].
This shows that [itex]\mathbb{N}\subseteq \mathcal{P}(\mathbb{N})[/itex]. The inclusion is strict since [itex]\{2\}[/itex] is a subset of [itex]\mathbb{N}[/itex], but not an element.