INCLUDE is a statement you can use in a scrit. It allows you to include code that you have written in a qds_file (just a txt file, no need to rename it actually) somewhere on your server into that particular script. It will then execute just like it was written into that script.
It helps you to consolidate things - blocks of code that you need often, variables that are used all over, a palette of coded colours or anything can thus be taken out of the individual scripts and stored only once.
Include and Must_Include are special variables - they allow you to read in a file that should be in the script, and must_include will cause the reload to fail if it can't find the file during reload. It's often used to be able to read in the same script statements or variables into every application you use, allowing you to reuse script without needing to write it out again etc.