If you do
include('file.php?option=1');
It will search the include path for a file named (literally) "file.php?option=1". Most likely it will fail and throw a warning.
If you do
$option = 1;
include('file.php');
It will look for a file called "file.php" in the include path, and if found will parse the code in the file (as php if <?php [...] ?> is used). The included file will see $option as having the value of 1.
If you do
include('http://www.mywebserver.com/file.php?option=1');
Then the web server will first execute the php file, then the results (html) will be included in the script which did the including.
Oh yeah, and this is all explained in the manual.