When I try to get an XML file (RSS feed) from a site I can't get it.
The browsers IE and Firefox tell me that I have no authorization.
Now I'm behind a proxy but maybe does that message meaning that from a site (mine) I can't get other resource of another site (domain) for security reasons?
The browser is preventing cross-site scripting. You have to use a relative path, otherwise most browsers will simply refuse to make an AJAX call.
As one possible workaround, you could set up a very simple reverse proxy (with mod_proxy if you are using Apache). This would allow you to use relative paths in your AJAX request, while the HTTP server would be acting as a proxy to any "remote" location.
The fundamental configuration directive to set up a reverse proxy in mod_proxy is the ProxyPass. You would typically use it as follows:
ProxyPass /ajax/stackoverflow/ http://stackoverflow.com/feeds/
In this case, the browser would be requesting /ajax/stackoverflow/tag?tagnames=javascript but the server would serve this by acting as a proxy to http://stackoverflow.com/feeds/tag?tagnames=javascript.
If you're trying to access an XML file on another domain using XMLHttpRequest then you can't, on purpose... it's a security issue. However, a workaround is to use a proxy page to grab the XML, see these:
http://developer.yahoo.com/javascript/howto-proxy.html