when you set the option in the Site definition to Create links relative to the Site, it will cause Dreamweaver to use the following syntax for include files:
<?php virtual('/Connections/MySql.php');?>
The virtual function is not supported by many servers, you should select the option to create links relative to the document instead which will cause Dreamweaver to use the require_once synatx which is supported on all servers.
<?php require_once('Connections/MySql.php');?>