another question is that which is better
i guess problem with 2nd link will be when you want to put your website online. than you will have to change your links bc it wont be localhost any more.
As far as I'm aware, it is possible to include files from another server. There is a common security setting PHP sets to avoid this called allow_url_fopen which has to be changed. It is not good practice to do so though, because urls can change. The following is the best practice to implement:
<?php include('../INCLUDE/header.php'); ?>
As for your CSS file not being loaded in, that's because it's looking for it in the same directory as the login.php file. You'll have to set the href to '../CSS/main.css'