You should avoid a BEGIN or CLEAR as these will close the connection between the program and the web server and clear all the variables.
You can however do a CALL, PERFORM, or RUN to another program. Generally for security we suggest you have only a handful of .pxp programs in your document root directory and those will access programs and files in other directories. This provides additional security as it prevents hackers from trying to run programs they aren't supposed to.
For example, if you look at our web site
www.pvxplus.com all the page and program requests are run thru the program pgsrvr.pxp which processes a pg= or tx= parameter on the URL to determine what to do. The actual web pages, data and logic used by our web site is maintained on a separate directory that is not exposed to the web server. The pgsrvr program validates the request and establishes any environmental settings required.
If you look at Webster+ it too operates in much the same way. All requests go through webster.pxp and the rest of the application is setup in directories outside the document root and are only accessible by first going through webster.pxp.