Jquery $.ajax fails in IE on cross domain calls

I am doing a cross domain request using $.ajax. It works on Firefox and Chrome, but does not issue a call on IE 7 or 8. Can anyone tell me what's wrong with the following?

1. I have used JSON and JSONP (which I stopped using, due to some custom restrictions).
2. I am already using Allow-access-control-origin header on my site. (Without those, Chrome and Firefox were not making successful requests.)
3. I have already tried https://developer.mozilla.org/en/http_access_control

Code:

$.ajax({
    type: 'GET',
    url: "http://anotherdomain.com/Service/GetControl?id=" + zoneID,
    cache: false,
    contentType: "application/x-www-form-urlencoded",
    async: false,
    beforeSend: function (request) {
        //alert('before send');
        //request.setRequestHeader("X-Requested-With", "XMLHttpRequest");
        //request.setRequestHeader("X-PINGOTHER", "pingpong");
    } ,
    success: function (data, status) {
        //alert("Data returned :" + data);
        //alert("Status :" + status);
        if (status == "success" && data != "")
            $("#" + div.id).append(data);
        else
            $("#" + div.id).attr("style", "display:none;");
    },
    error: function (XMLHttpRequest, textStatus, errorThrown) {
        alert(textStatus);
        alert(errorThrown);
    }
});

I have tried various tips present on multiple sites, but no luck yet.