There seems to be a problem, I'm afraid.

I've got the SharedHeader.ascx in de skin directory "\Portals\_default\Skins\MyFirstSkin\" and using it in the HomePage1.ascx skin in that same directory. I also use the SharedHeader.ascx in the HomePage2.ascx skin in "\Portals\_default\Skins\MySecondSkin\". Everything is included except for the css styles / SharedHeader.css file. Even if I change its reference in SharedHeader.ascx, like:
Any clues how I can solve this?

As the default basepath is the skin folder the second example is correct.

You can us another path is you want:

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File Path

The path to the files can be set using the BasePath attribute, which default to the skinpath.
You can use tokens for the "BasePath" or for the individual files (in AddCssFile/AddJSFile);
[S] For the SkinPath
[P] For the current Portal folder
[M] For the Skin objects install folder
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I'm not sure what your trying to accomplish (are you using an include in as a header?), but normally if the skin object has to be part of the skin for the CSS to load.

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