Using PHP in Widgets

I’m installing LinkEx for doing link exchanges, and I want the hardcoded links to show up in a sidebar widget. The LinkEx documentation says to use the following php code for displaying the data: “<?php include( “linkex/data/output/1001″ ); ?>” When I go to that location, I can see the links, but the text widget does not parse my php. Any ideas how to fix that?