JQuery :: Cross Domain Ajax And IE?

I'm fairly new to javascript and JQuery so please bear with me. I've written a simple app using JQuery whose purpose is to select the fastest mirror site. To this end I use several $.ajax calls - one to each mirror site -and I don't do anything with the data I get from these, I only use the order in which they respond to sort the sites from fastest to slowest. I'd share the code, but really the only thing it does is call the $.ajax function and append a line in a table using the success: callback. This works perfectly fine for most browsers, except IE which throws the 'access is denied' error. I know about cross domain restrictions and understand the reasoning behind - my plan was to put my script in the 'trusted' zone and enable the required options to bypass the problem as this will be used in a controlled environment, but no matter what I try my code won't run in IE. Some of my mirror sites are indeed in a different domain. What I have trouble understanding is why all other browsers (FF, Chrome etc), with their default configuration, allow my code to run flawlessly? If the reasoning behind IE blocking this is correct, then why do others allow it?
Also obviously for my purpose using a server-side proxy makes no sense as I want to test the sites from the client side, not from the server. I've also read about other work arounds such as JSONP but unfortunately the sites that I'm testing cannot support this. But once again, what I'm really wondering about is why my code works flawlessly in other browsers..