Make a CORS request in IE9 with cookies?

From this page http://blogs.msdn.com/b/ieinternals/archive/2010/05/13/xdomainrequest-restrictions-limitations-and-workarounds.aspx at the bottom you can see Update: Internet Explorer 10 now supports CORS using XMLHTTPRequest. It means CORS is not handled properly in IE9. Sorry. They propose some workarounds with proxy in the same article.

Browser compatibility matrix is given at http://caniuse.com/cors where by partial support they mean

Internet Explorer 8 provides support via the XDomainRequest object but doesn't support credentialed requests http://code.google.com/p/sgvizler/wiki/Compatibility.