If your host runs a proxy server you will not be able to include() remote files as as far as the proxy is concerned they dont exist, you can grab snoopy form sourceforge.net -have not got the url handy but a search as sf will find it fast enough.
Snoopy allows you to get around the proxy problem although it does add overhead to each call.
Its also just possible that your host has disabled allow_url_fopen in the php.ini, although thats unlikely ? - the proxy server would be my bet