[jQuery] Permission denied to call method XMLHttpRequest.open

[jQuery] Permission denied to call method XMLHttpRequest.open


The exception 'Permission denied to call method XMLHttpRequest.open'
apparently gets thrown if you attempt to load content from JavaScript
from another domain. Is this correct?
I'm trying to write a simple script to load an RSS feed to display on
my web site. What I thought would be a 5 minute task using $.get() to
get the XML is turning into a major CF. I know that this is not a
JQuery specific issue.
Is this exception new with FF2 and IE7?
More important... is there a way around it that is transparent to the
reader of the site?