This code requires allow_url_include=On in your php.ini, which is disabled by default because it’s a MASSIVE SECURITY RISK. This is called the Remote File Include (RFI) vulnerability. If there is PHP code on this site it will be executed on your server.

Extremely insecure:

<?php include("http://www.othersite.com/filename.html"); ?>

What you probably want is:

<?php print file_get_contents("http://www.othersite.com/filename.html"); ?>

However, this is technically an XSS vulnerability. So, if you trust the website there isn’t a problem. But you probably want to run Html Purifer before printing it out.