if you use [url]http://....[/url] in an fopen call, it returns parsed php code, or for that matter parsed perl/asp/cfm etc code. the fopen url wrappers just give you a shortcut for making an http request to the remote server. its not much different that you using fsockopen to the remote site and issuing a standard GET request just like your browser.
using fopen is a lot slower than including a local file because it initializes sockets as well as fetch the file from a remote server.