I am using CORS POST request with everything taken care as given @http://www.html5rocks.com/en/tutorials/cors/
Server sets Response header to: \'Access-Control-Allow-Ori
I had this same issue. It has to do with Internet Explorer's handing of third party cookies. You can fix this issue by going into Tools>Internet Options then selecting the Privacy tab. If you change the setting to "Accept All Cookies" you will no longer see that message.
The safer way to do this would be to click on the "Sites" button and allow cookies from your site's url.