Problem with ImageCreateFromGIF with URLs

When I try to load a GIF image from a file in the current directory
 $img = ImageCreateFromGIF("image.gif");
everything goes perfectly well but when I try to do the same thing
with the complete URL of the image
 $img = ImageCreateFromGIF("http://path/to/image.gif");
I get the following error message:

 Warning: ImageCreateFromGif: Unable to open http://path/to/image.gif for reading in ...

When I use my favourite browser (Netscape not to name it ;-) and type this URL in the
location http://path/to/image.gif, the image is loading...

Is there a problem with the URL parser in this function ?