Use $.ajax() to get twitter mentions feed

Question

I've read this but didn't get much info from it or I don't know what to do with it.

How can I use $.ajax to just get the mentions feed of my account on to my site?

Edit: How do I process the data now...?

For example, how should this part look?

$('status', data).each(function() {
 // Process each status here
});

Thanks!