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You don't, it's just good practice so you can include it wherever you need it instead of copying/pasting everything and then having to go back and change every single instance if you need to change one piece of information.
Not at all. Just think about it...say you have a bunch of different access points (pages) and you want them all to be able to connect to the database, what's easier? Having all that mysql_connect() stuff on each page, or just including the connect file? If you just include the file, then any change you have to make will only have to be made on that one file, as opposed to on each file that uses the mysql_ functions to connect to the database.