Convert String to XML Document in JavaScript

Saw this example on the jQuery examples page for Ajax:

var xmlDocument = [create xml document];
$.ajax({
        url: "page.php",
        processData: false,
        data: xmlDocument,
        success: someFunction
    });

How do I take a string like:

var t = '<foo><bar>something</bar></foo>';  

And convert that to a XML DOM object? cross-browser?

UPDATE: Please see comments to karim79's answer.