Here are links that explain what CORS and how it works:
jQuery supports CORS for the following browsers Chrome, Firefox, Safari and IE10, so what about IE8 and IE9.
The following link explains how to make it jQuery work in IE8 & IE9:
IE9 jQuery AJAX with CORS returns “Access is denied”
And of course you can forget about IE7, IE6 and IE5, the only way to support them is using JSONP.