I wrote an article about accessing remote services through a proxy represented by a local ASP.NET web service.
The article is live on DotNetSlackers and is part of the AJAX column. By the way, Michael Schwarz is one of the authors of the column, so be sure to bookmark the page!
"By default, its not possible to make a cross-domain HTTP request to a remote web server using the XMLHttpRequest object, without violating a security policy enforced by browsers. [...]
An approach to implement this technique is to create a local web service that acts as a proxy of the remote data service. In other terms, we use the web methods exposed by the local web service to access the remote service. To shed some light on this mechanism, we are going to build a very simple mashup that uses remote services to display data on a map."
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