When you are trying to wrap content with HTML from an external source, this can easily be achieved by placing HTML comments (or other recognizable tags) in the target site, then using PHP to split/explode the content.
I have used this method to create several micro-sites for MSN Money which has in. Then I would simply use:
list($header_html) = explode('<!-- Header -->', file_get_contents($url));
It was slightly more complex than that, involving caching and all sorts of other madness, but at its base that is the method to use if WordPress will allow it.