Access denied with ajax call, existing only on IE9

I am facing this problem when using Xmlhttprequest to call ajax. I test the code on Firefox, Chrome, Safari, they all work well. Only problem existing in IE, my version used is 9. Some guys say that I should enable cross-domain support. In fact, I am adding Access-Control-Allow-Origin: * to the HTTP response header. Any ideas? Thank.

My code is:

var xhr = new XMLHttpRequest();
var query = queryString.pageName.abbr + "="
        + encodeURIComponent(queryString.pageName.value) + "&"
        + queryString.pageURL.abbr + "="
        + encodeURIComponent(queryString.pageURL.value);
var getURL = "http://localhost:10001/test?" + query;

xhr.open('GET', getURL, false);
var result;
xhr.onreadystatechange = function() {
    var responseBody;
    if (xhr.readyState == 2) { // headers and status received
        alert(xhr.status);
    } else if (xhr.readyState == 4) { // full body received
        result = xhr.responseText;
    }
};
xhr.send(null);