I believe that the OP meant to include the condition that each of the local PIDs is not a field. In this case the result is true, and as several people have said, is a rather standard exercise.
At this moment it seems to me that if we get asked a rather standard question that has not been asked on MO before, it would be nice to use it as an opportunity to explain something a little deeper / slightly less standard related to the question. In this regard, let me mention a generalization:
A local PID R (which is not a field!) with fraction field K is precisely a discrete valuation ring, i.e., is the valuation ring R=xinK||x|leq1 of a norm ||:KrightarrowmathbbRgeq0 such that |Ktimes| is a discrete subgroup of mathbbRtimes. Now for nontrivial norms ||1, ||2 (Archimedean or not) on a field K, there is the following result:
Theorem: The following are equivalent:
(i) There exists alpha>0 such that ||2=||alpha1.
(ii) For all xinK, |x|1<1implies|x|2<1.
(iii) For all xinK, |x|1leq1implies|x|2leq1.
(See e.g. http://math.uga.edu/~pete/8410Chapter1.pdf, p. 4, for a proof.)
Now the implication (iii) implies (i) shows that there can be no proper containments among DVRs with the same fraction field. The same holds for all rank one valuation ring because, by definition, a rank one valuation ring is one whose value group is a subgroup of mathbbR; therefore the data of a rank one valuation is equivalent to that of a non-Archimedean norm. (Note that if || is a non-Archimedean norm, then v=−log|| is a valuation, and conversely if v is a rank one valuation, then ||=e−v is a non-Archimedean norm.) It is not true for valuation rings of higher rank.
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