Start of include file:
<?php
if(str_replace('\\', '/', __FILE__) == $_SERVER['SCRIPT_FILENAME'])
{
die("Whatever error message you want to display");
}
Note: the str_replace is needed for Windows systems. It can be omitted for *nix systems, though it does not hurt to leave it in for maximum script portability.
PS: Another option is simply to keep all include files in a directory which is not accessible from the web.