You might Google XMLHttpRequest. Wikipedia has a pretty good looking entry describing general technique, caveats, and restrictions.
Adapting from Wikipedia, you might start with this (assuming you're not using some ancient version of Internet Exploder):
<html>
<head></head>
<body>
<script language="JavaScript">
xmlhttp=new XMLHttpRequest();
xmlhttp.onreadystatechange = function() {
if(xmlhttp.readyState == 4){
alert(xmlhttp.responseText);
}
};
xmlhttp.open("GET","somepage.xml",true);
xmlhttp.send(null);
</script>
</body>
</html>
Alternately, common libraries such as jQuery can be used to simplify code making remote requests.