The question is given below:
All I know about this field id that its order is even $p-1$. And I think if we are speaking about an element other than the identity then this is in general not true (I tried the group $\mathbb{Z_{3}}$ with the addition operation.)
My questions are:
1- Is the question with respect to multiplication operation?
2- should $a$ and $b$ be distinct?
Note 1:
This question was in a linear algebra book.
Note 2:
I have found the answer of this question here Does the element exist in the Galois Field? but I did not understand it and it did not answer the questions I asked above. Also, I think that the answer if the question has answer no should be given by a counterexample, not by proof as I can see in the answer to the mentioned link.
Finally, could anyone help me with that question, please?

You are asking if $a$ is a quadratic residue $\bmod p$. If $p=2$, yes.
If $p$ is odd, not always. See Euler's criterion here.