Cross Domain http get request... Do I need Proxy?

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Hi,
I just trying to get a result from a http get request to another domain webpage. Here is my javascript funtion for the request:

function pegaCEP() {<br />          wRequest.set_url('http://cep.republicavirtual.com.br/web_cep.php?cep=13026075');<br />          wRequest.set_httpVerb("GET");<br />          wRequest.add_completed(completed);<br />          wRequest.invoke();<br />      }<br />

If I use set_url for a webpage in the same site, it works fine, otherwise it cames blank (not denied, just empty, no error). I was looking around and saw something about proxy... Do I need proxy here? If so, can you tell how to do it? If not, is there any web.config solution or something?