The following vb Script can fail with an "Access is denied" error message:

Dim aRequest
Set aRequest = CreateObject ("Microsoft.XMLHTTP")
aRequest.Open "POST","http://www.contoso.com/PostAccepter.aspx",False
aRequest.setRequestHeader "Content-Type", "application/x-www-form-urlencoded"
aRequest.Send "this is data"
Wscript.Echo aRequest.responseText

If you use Fiddler (http://fiddler2.com) you will see a comple of redirects to Microsoft.com.  That is the reason for this failure in my case.  By clearing the flag in Internet Explorer for that internet zone that prevents this POST (Access data sources across domains), I am able to run again.

1. In Internet Explorer, click Internet Options on the Tools menu.
2. On the Security tab, click Trusted sites, and then click Sites.
3. Add your site to the zone.
4. Click Custom Level.
5. Under Miscellaneous/Access data sources across domains, click Enable.

 

see http://msdn.microsoft.com/en-us/library/cc507438(VS.85).aspx (security model)

also see http://support.microsoft.com/?id=820882