In order to include remote files you need to have the allow_url_fopen setting in your php.ini enabled. If you don't have root access, then you'd have to ask your host to enable it. You can see whether or not it is enabled by looking at your phpinfo().
also the internal include would include the contents before parsing the script the external 1 would be after it parsed the script so depending on what the script was would depend on wether either would work.
Yea what filth said. :D To make it a little more clear, the remote include is going to include the output of the script. If you're trying to include some configuration file or something from a remote domain it's not going to work.