Ajax :: How To Complete Script Like Google Analytics

I am trying to get my head around this AJAX/JS problem with IE where I am getting visitor info like cookie, ip, URL, referrer, user agent and sending it to an external domain where my database is storing all the stats for the client. In short something like Google Analytics does. My script is working fine in Firefox and chrome so far but getting "Access Denied" error on http.open() in IE. I did try derelict's method but I guess I am missing something and same thing happens in IE without error. It is not sending the data to external domain. I am sure many of you have tried and make it worked but I am not able to get it working. I have another option where I can add a php or asp file and use cURL to send the value but I want to make it simple like GA as there may be many clients with different servers and might not possible to add additional pages.

Code:
//This is processJS.shtml page to use PHP within JS
var guestID=getCookie('guestID');
if (guestID==null || guestID=="") {
setCookie('guestID',"-1",365);
} var guestID=getCookie('guestID');
var siteurl = '<!--#echo var="HTTP_HOST"-->';
var ip = '<!--#echo var="REMOTE_ADDR"-->';
var agent = '<!--#echo var="HTTP_USER_AGENT"-->';
var page = document.URL;
var ref = document.referrer;
var clientID = '123'; // clientID will be different for each client .....