Permission denied to call method XMLHttpRequest.open

Now, this is an age old issue right!!!!

But still i see people asking this question, so its here...

Every web browser puts the security restriction on connections over n/w including our XMLHTTPREQUEST, now this security restriction prevents (the infamous jscript pop up sometimes in IE, wud you like to allow connection to this insercured connection) your scripts in your web application to open the connection to the service in another server but it does allow the call if your required service and application reside in same server (so who wants that!!! rite), and the only workaround is create a proxy in your server (this makes the call and return data )so your scripts can access.