Philip,
The problem with #include <../native.h> I worked around by specifying an additional include directory that points to ../ . But the real problem is, as Boris pointed out, that the VMS compiler assumes the directory for includes is relative to the current working directory, not relative to the source file directory. So if you want to compile files with #include <../native.h> and where native.h is in the parent directory, then you need to cd into the subdirectory before compiling. That means you would also do cc (filename) instead of cc [.modules](filename).
/INCLUDE="./modules" switch eliminates the need to cd into the [.modules] subdirectory before compiling. build_vms.com script I sent yesterday is using this technique. Thanks, Boris