When making an xmlhttprequest from a website the browser will restrict you to the site from which the script came. This is a security precaution. If sites were able to tell the browser to make requests from other domains then they would be able to DDOS a site with a users browser. There are legitimate reasons to make requests to other sites though.
This is the w3 approved method of allowing a client from another domain to access your web service. It is a server side method and requires no changes on the client to implement. This is both and advantage and a disadvantage. If you have control over the server then this method is simple, otherwise (for sites such as Yahoo API or other public services) you will not be able to implement this. It should also be noted that this was implemented in Firefox 3.5 so it can’t be used with earlier versions, or other browsers.
To use this method you tell your service to output extra headers that tell the browser whether access was allowed or denied.
Flash Enabled xmlhttprequest
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Internet Explorer allows and denies cross-domain based xmlhttprequests based on the security setting. This approach is likely not going to be used on the Internet as it requires user interaction and is Internet Explorer specific. On a corporate Intranet this is slightly less difficult but not by much.
With this method you use the same server you shared the page from to proxy the requests automatically to the server with the data you’re fetching. For this to work your version of Apache has to be compiled with proxy support or you need to have the mod_proxy dso loaded. This method increases the latency of requests as they must first go via your server. It should also be noted that this cannot be implemented in .htaccess file and must be done in the main configuration.
If you don’t have control over your servers configuration then you can mimic the above method by writing a script that forwards the variables required and forwards back the data. This approach can even be more preferable than the above method as it allows you to preprocess the variables and cache the data if required.
Random Thought: Can you use AJAX to make web applications cleaner?