Is it possible to include a malicious file from another server/website?
Long story short: Yes. It may be possible but it also depends on your PHP version and server configuration.
What are the possible vulnerabilities?
Situation described below is typical file injection vulnerability and in this situation, without filtering request data, you are vulnerable both for Local File Injection (LFI) and Remote File Injection (RFI).
It's also good to remember that:
include
or require
will load and execute any good code in php wheter it is in php file or not. Look here for example of jpg image carring php code (and this file is even rocognized as image/jpg by mimetype!).
include
or require
will also open plain text files, like your etc/hosts
without errors if you are working on default Apache/PHP settings.
With GET varialbe like yours, in Windows, end user can just use variable with "..\" path. So it is possible to check all dirs loosely.
Here you can check how you can include remote files. Based on answers there you can easily reconfigure your server/php stack and test vulnerability.
EDIT:
as for point 3, do you know of any example how you can jump to the other drive?
In your example, for Apache2 or Nginx with PHP5 default configuration I was not able to found way to jump to another drive. Putting backspaces (%08), escape codes etc. are not removing previously added disk letter.
So for include 'D:\\mydir\\' . $_GET['load'] . '.php';
you must stay in the same drive. Of course for include $_GET['load'] . '.php';
you will be able to chose whatever url/drive you like.