To show two sets $X$ and $Y$ are equal, you must prove that every element of $X$ belongs to $Y$ and vice versa. In your case, you must prove that every element of $P(A\cap B)$ belongs to $P(A)\cap P(B)$, and every element of $P(A) \cap P(B)$ belongs to $P(A\cap B)$. Use the definitions of the power set and intersection $\cap$ to do it.
Normally, the way one proves that two sets are equal is to show they contain exactly the same elements-which is equivalent to showing they are subsets of each other.
Here's how one such proof might begin:
Suppose $X \in P(A \cap B)$. Then $X \subseteq A \cap B$.
Now $A \cap B \subseteq A$, and $A \cap B \subseteq B$, by the definition of "$\cap$".