I suggest using single quote delimited strings with concatenation:
echo 'Mi spiace, password ERRATA, <a href="' . $_SERVER['PHP_SELF'] . '">Rifare la Login</a>.';
Notice that I included double quotes for the HTML element value. If you really want to use double quote delimited strings with variable interpolation, write it as:
echo "Mi spiace, password ERRATA, <a href=\"{$_SERVER['PHP_SELF']}\">Rifare la Login</a>.";
or:
echo "Mi spiace, password ERRATA, <a href=\"$_SERVER[PHP_SELF]\">Rifare la Login</a>.";