That particular option can only be set at the system level (e.g. php.ini). I'd suggest using the [man]cURL[/man] extension to make the HTTP request, as it is not affected by that setting.
PS: If you are on PHP 5.2.0 or later, you can set allow_url_include to off in order to prevent the most dangerous thing: including/requiring remote files, then set allow_url_fopen to on so you can use things like file_get_contents() (assuming you have access/permission to change those settings).