Ok I am assuming you mean execute another script. e.g.
going from index.php to example.php, and not including the file.
Ok well OOP works similar to that of C++ ok not exactly but the basic idea is the same. For example, say we open a C++ Program up and close it, all the objects are destroyed (well not straight away they still exist for some period of time until the memory they occupy is required again), PHP works the same way. You execute a script once its executed passing things over to another script requires some way of the client (browser) to retain the values. Cookies and Sessions come to mind.
Now if we were including files, to PHP once the files have been included its just 1 file being executed instead of 2 or 3 etc, so once the script has executed thats it nothing is going to pass on to another file.
Hope this sort of gives you the idea of what is happening.