Ajax calls made from Google Spreadsheet Custom Function

Has anyone ever tried to write a script inside a Google Spreadsheet to make an ajax call to a website?

I want to make it so that the spreadsheet updates itself from the website. But after just putting this short block of code, I get thrown an error:

"ReferenceError: "XMLHttpRequest" is not defined."

Any idea? Do I have to call a certain library?

xmlhttp=new XMLHttpRequest();
xmlhttp.open("GET", eventObject[1], true);
xmlhttp.send();