I have this problem. In external web site I have a script like this:
I think it is more a problem of cross origin domain.
the $.load function of jquery use ajax to load the url and so you cannot do cross domain call if the target URL does not implement CORS headers.
In your example, the server example.com must return a header
Access-Control-Allow-Origin: *
You can also replace * with the domain of the page that want to load the content by AJAX.
A good blog post on how to use CORS: http://www.html5rocks.com/en/tutorials/cors/