I know that phrases like "How to do something" are NOT questions. For example, it's incorrect to ask:
Let's consider the phrase:
Is it also NOT a question? What will be a correct question then? If it IS a question, then why the first phrase is NOT?
Neither phrase is a question. They are correct phrases, and they can function like nouns in sentences:
Please tell me *how to say "Hello" in Chinese".
I know what to do in such a situation.
Neither phrase is a complete sentence on its own. The verbs "to say" or "to do" are infinitive and English sentences need a finite verb.
The correct question needs a pronoun. I'll use "you"
What do you do in such a situation.
It is likely that the actual question would be "What should you do..." or "What do you have to do" or similar.
These statements can be questions or declarations. For example:
How to say "hello" in Chinese: nihao
How to make a cake: step 1 - add flour and salt to bowl and mix.
The inflection of one's voice in spoken English helps to determine if it's a question.
These statements are also not complete sentences. As a question, these sentences should include an actor or subject: "How do you say "hello" in Chinese?" and "What is one to do in such a situation?"
Likewise, in a question, the subject and the verb often change places, whether or not you're using an interrogative pronoun or adverb (who, what, where, when, why, how). Consider the following:
Do I have to do this? How do I make soup?
Versus
I do have to do this. That's how I make soup*.
*using the adverb how usually means you need to explain it further, or you would say "That's how I make gazpacho" without explaining it further because you had already explained it in previous sentences. It's not a phrase that would stand on its own.
Both examples you originally gave are not grammatically correct, but may appear informally. Try to include a Subject, Verb, and direct Object in all sentences, and remember that statements are usually SVO and questions are usually [interrogative adverb]VSO, and that verb is usually a modal or auxiliary verb (do/does/did, can, may, shall, will, would, etc.).
I think both of those sentences can be questions. Frequently, the "How to do something" sentence is used as a paragraph or section header. Similar to newspaper headlines, section headers do not always follow standard grammar and the "How to do something" construction is often interpreted as a declarative statement instead of an interrogative question.
