Cross Domain Ajax in IE

I have recently had the opportunity to implement an AJAX solution for my project. The goal is to allow AJAX calls to our web service. The challenge is the call is cross-domain. After spending some hours in investigation, I realized that it is real hard if not possible to accomplish this in Firefox. Tricks, such as iframe and JSOD, won't work well because the web service interface (SOAP) is already defined and I cannot make changes to it. Fortunately, the standard browser we need to support is IE, and this is an intranet application. These two conditions made things much, much easier.

To enable cross-domain AJAX, we need to make a few configuration changes to IE
1) add the site which hosts the AJAX code to the "Trust Zone"
2) enable the configuration "Access data sources cross domain"

That's the most of it. In addition, you also need to pay attention to issues such as cross-transport and cross-port. You need to load specific version of MSXML in order to work-around the restrictions. Here is a summary of it (http://msdn.microsoft.com/workshop/author/dhtml/overview/aboutxmlhttp.asp):

Option Cross Port Cross Protocol
--------------------------------------------------
Native XMLHttpRequest Disallow Disallow
MSXML 6.0 Allow Disallow
MSXML 5.0 Allow Disallow
MSXML 4.0 Allow Disallow
MSXML 3.0 Allow Allow HTTP to HTTPS
Microsoft XML Allow Allow HTTP to HTTPS