It means exactly what it says; if you have PHP 5.0.0 or greater, you can use [man]file_exists/man on some URL wrappers. Which ones? Visit this manual page to find out if the wrapper in question supports stat(): [man]wrappers[/man].
EDIT: If the answer is no, then no, you can't use file_exists() with the wrapper you wanted to and you'll have to find other means of ascertaining whether or not that remote file exists.
(For HTTP(S), you could use [man]cURL/man, set CURLOPT_NOBODY to false, CURLOPT_HEADER to true, CURLOPT_RETURNTRANSFER to true, and check if "HTTP/1.1 200" is returned - otherwise you could say the didn't exist.)