Perhaps you can try something like this:
XMLHttpRequest.prototype.real_open = XMLHttpRequest.prototype.open;
var your_open_method = function(sMethod, sUrl, bAsync, sUser, sPassword) {
alert('an XHR request has been made!');
this.real_open(sMethod, sUrl, bAsync, sUser, sPassword);
}
XMLHttpRequest.prototype.open = your_open_method;
Of course, instead of the alert you can have your own tracking code. I tried it out and it works on 'plain javascript' requests and also requests made with jquery. I think it should work regardless of the framework that was used to make the request.
EDIT April 21
I don't really know how an ActiveXObject can be extended. My guess is that something like this should work:
XHR = new ActiveXObject("Microsoft.XMLHTTP");
var XHR.prototype.old_open = XHR.prototype.open;
var new_open = function(sMethod, sUrl, bAsync, sUser, sPassword) {
alert('an IE XHR request has been made!');
this.old_open(sMethod, sUrl, bAsync, sUser, sPassword);
}
XHR.prototype.open = new_open;
Unfortunately (or maybe not) I don't have IE, so I can't test it. But give it a spin and let me know if it did the trick.