This is explained in the manual.
You must have "URL fopen wrappers" enabled.
You must specify protocol in addition to hostname, which you did not in your example.
Big caveat: The included PHP file will be processed remotely, not locally (assuming the remote HTTP server is PHP-enabled).
If you need to have it processed locally, consider NFS-mounting the directories. I suppose you also could use fopen(), read the file into a buffer using FTP, and eval() the buffer.