Here's why:
* Prepositional phrases start with a preposition (in this case, "in") and end with a noun or pronoun (in this case, "the gentle wind").
* Prepositions show the relationship between the noun or pronoun and another word in the sentence. In this case, "in the gentle wind" tells us where the trees are swaying.
The sentence is incomplete. It should read: "The trees swayed gently in the wind."