Why do some pages that use Ajax calls not display sometimes onInternet Explorer?

From some environments such as my office or some internet cafe's, some
web pages that have a call to the MSXML.XmlHttpRequest object do not
display properly and result in a JavaScript error that says,
"XMLHttpRequest is not defined."

I believe that MSXML is a COM library and is used by IE therefore, it
is not a case that the library is absent on the computer. My guess is
that it has something to do with security previliges.

Please enlighten me. Where are these settings configured? I looked in
my Tools->Internet Options->Security tab but don't know which one it
is that I must change.