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From the time we added CORS support for ASP.NET WEB API, we have seen many questions on its usage, including questions about sending cross-origin requests (CORS) from IE. IE 10 and higher fully support using XMLHttpRequest to send cross-origin requests. CORS for XHR in IE10 is a great blog post on this approach.
CORS is also supported in IE 8/9, however, in a different way. Instead of XMLHttpRequest, an XDocumentRequest object is used to send cross-origin requests. Here’s another good reading about it: http://blogs.msdn.com/b/ieinternals/archive/2010/05/13/xdomainrequest-restrictions-limitations-and-workarounds.aspx. If you’re using jQuery, here’s how to send CORS in IE 8/9 http://stackoverflow.com/questions/10232017/ie9-jquery-ajax-with-cors-returns-access-is-denied
Last, sending CORS request is not supported in IE 6/7.
It's worth mentioning that CORS with custom headers are not supported with the XDomainRequest, so if you have Authentication tokens in your headers, it wont work :)