Can anyone tell me the syntax of the include statement in an xsd file ?

<xsd:include schemaLocation="NlisHeader.xsd"/>

Reason is, I'm trying to validate the xml file against the xsd, using the MSXML 4 parsers XMLSchemaCache. I can get it to work with a single xsd, by pointing at the App.Path but when I try an xsd with an include, I get an error
-214697210 "The system cannot find the object specified"
which I presume means it's failed to find the include file, even though it in the same directory as the main xsd file