Part of the Ajax security sandbox is the inability to make requests to resources on servers other than one that served the page.
One way to get around this is to create a proxy relay on your own server that relays the request to the remote server from the local server. Because the request is made from the server rather than browser, the security sandbox is circumvented.
If you're interested in reading about this at length, I go into great detail on how to do this in the Web Services chapter of Ajax in Practice.
Well, I'm certainly not going to write a chapter's worth of material in a forum.
Basically you make the request to your local server, perhaps to a servlet. The servlet then uses the Java networking API (or a 3rd party library that makes it easier) to make a request to remote server. The servlet then gathers the remote response and relays it to the client.