XMLHTTP error

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I am instantiating XMLHTTP object in javascript. I am using something like this...
var xmlHTTP = new ActiveXObject("Msxml2.XMLHTTP.4.0");
xmlHTTP.open("GET","https:/www.someurl.com", false);
var returnValue = xmlHTTP.responseText;

I am getting access denied error at line 2 at xmlHTTP.open call. Although this when I run locally (by giving file path instead of url) works well.

Any help is appreciated. Thanks in advance.

[Rambo Tribble]

I don't know much about ActiveX, but I have to wonder if the https security protocol of the URL isn't involved in the problem.