Cross Site XMLHttpRequest from JavaScript can it be done?

I understand the limitations and why it is not generally able to work, but as of firefox 3.5 there is the

Access-Control-Allow-Origin: *

which is supposed to allow this to work.

It tells the browser that the server does not care if the request is sent to it from a domain that did not serve the page.

The code I am using is below. 

function sendData(webservicePayload, callbackFunction) {
var request = null;
if (!window.XMLHttpRequest) { // code for IE
    try {
        request = new ActiveXObject('Msxml2.XMLHTTP');
    } catch (e) {
        try {
            request = new ActiveXObject('Microsoft.XMLHTTP');
        } catch (E) {
            return 'Create XMLHTTP request IE';
        }
    }
} else { // code for Mozilla, etc.
    request = new XMLHttpRequest();
}
/*
 * Setup the callback function
 */
request.onreadystatechange = function() {
    if (request.readyState == 4 && request.status < 300) {
        eval(callbackFunction);
    }
};
if (!request) {
    nlapiLogExecution('ERROR', 'Create XMLHTTP request', 'Failed');
    return;
}
/*
 * Setup the request headers
 */

request.open('POST','http://www.another.domain.co.uk/webservice.asmx', true);
request.setRequestHeader('Man','POST http://www.another.domain.co.uk/webservice.asmx HTTP/1.1');
request.setRequestHeader('MessageType', 'CALL');
request.setRequestHeader('Content-Type', 'text/xml; charset="utf-8"');
request.setRequestHeader('Cache-Control', 'no-cache');
request.setRequestHeader("X-Requested-With", "XMLHttpRequest");
request.setRequestHeader('Content-Type', 'application/x-www-form-urlencoded');

request.setRequestHeader('SOAPAction','http://www.another.domain.co.uk/WebService/eService');
request.send(webservicePayload);

}

This is sending the correct request header

REQUEST

OPTIONS /webservice.asmx HTTP/1.1
Hos
javascript ajax browser cross-domain
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