It depends on what else is between the 2 includes, if all html, then I would use the first, if you have other PHP between then I use the second.
If however it is just these few lines I would probably do it this way:
<?
include("header.php");
echo "PHP Rocks!!";
include("footer.php");
?>
I believe with print you need ("PHP Rocks!!"); with the ()
moonie 😉