Your question has nothing to do with PHP, which is what this site is all about.
Nevertheless, here's the answer: The "server side" in "server side includes" means exactly that. It's the server's job to perform the merging of files into a complete page. If your Web host goes not support server-side includes, or if you do not have the files named appropriately so that they are parsed (typically .shtml), it won't work.
PHP, by the way, is a server-side scripting language that can do everything server-side includes can do, plus a whole lot more.