I've got 2 reports saying that this doesn't work in IExplorer 8 / IExplorer 9.
I did test it on both when I developed this, but I want to make sure that it does work.
Please help me out and test in any browser, especially in IExplorer (since right now I don't have access to one).
UPDATE: a small bug was in the sample (index.html) available at http://alexn.org/crossdomain-requests-js/
(basically an extra caret). Also, the test sample called a server that relied on HTTP_REFERER to get passed to the server, but IExplorer is many-times blocking this header, which meant the Origin header was set as a wildcard, but IExplorer does not support wildcards.
After fix, it has been confirmed to work on:
Test still in progress, but it should be fine now, after fixes.
very sad, the example does not work in IExplorer 7.