I am somewhat new to PHP coding and I am aware that malicious users can hack a website if you have not sanitized your PHP code. What I am wondering is whether they need a data entry box (like for file submissions, or user-name/password entry fields)?.
Do commands like "include (header.php)" also need some sort of security or are they innately safe?
Just like any other language, PHP code is as secure as the programmer writes it.
Also like any other language, individual (and even common) security risks are too numerous and detailed to include in a StackOverflow answer.
Find a book which covers Secure PHP coding.