how far back are you going in directories? Make sure your directory structure is correct for your include statement...what you listed looks fine, depending on your structure, can you give a quick breakdown of your directory structure?
For example, let's say you are in the root directory of your web folder, /public_html. Let's say you wanted to include a php file in your index.html file. Let's call this php file foo.php. Both files reside in the same directory.
Your code should look like this:
<?php include "foo.php"; ?>
Now, let's say that you want to add foo.php to your index.html file, but foo.php is in another directory, let's say /public_html/scripts. Your code would look like this:
<?php include "scripts/foo.php"; ?>
The way you currently have your include set up is that it is trying to include the index.php and it is looking for it one directory below and then changing into the php directory.