Please, help me with the following problem:
Starting from the figure below,

we know:
$FP=OP-OF=a\cos E-ae$
and from the right triangle $OP_{2}P$, I determined
$P_{2}P = a\sin E$.
I would like to ask you: how can I prove that $P_{1}P/P_{2}P=b/a$ (where a is semi-major axis and b is semi-minor axis of ellipse)?
Can a demonstration be made by means of synthetic geometry or without equation of ellipse?
Actually that circle is called the auxiliary circle of the ellipse and has many nice properties. It can be used to parameterize the ellipse $P_1=(a \cos x,b \sin x)$, x being the polar angle of $P_2$ from here it follows the result you asked. And the parameterization follows from standard equation of ellipse, i.e., $$\frac{x^2}{a^2}+\frac{y^2}{b^2}=1$$ after plugging in the x coordinate.