How to add an Access-Control-Allow-Origin header

I am designing a website (e.g. mywebsite.example) and this site loads font-face fonts from another site (say anothersite.example). I was having problems with the font face font loading in Firefox and I read on this blog:

Firefox (which supports @font-face from v3.5) does not allow cross-domain fonts by default. This means the font must be served up from the same domain (and sub-domain) unless you can add an “Access-Control-Allow-Origin” header to the font.

How can I set the Access-Control-Allow-Origin header to the font?