Using the ActiveXObject object on IE. How can I submit a cross-domain request?
Setup a server-side proxy to make the request for you. Then invoke the proxy (locally) using AJAX.
Now, when it comes to cross-domain, you have two situations:
Whenever possible, when it comes to a web browser, I'd recommend JSONP for its simplicity. However, things can get tricky in case of error so, again for jQuery, I'd recommend the following plugin: http://code.google.com/p/jquery-jsonp/