IE8 and IE9 have the HttpXmlRequest object, but unlike the implementation in IE10+ and current versions of Safari, Chrome and Firefox it does not support CORS, so will not allow you to attempt any kind of cross domain request.
In IE8 and IE9, Microsoft separated out cross domain activity into the XDomainRequest interface:
https://developer.mozilla.org/en-US/docs/Web/API/XDomainRequest
This sits alongside XmlHttpRequest in IE8 and IE9 (and was dropped in IE10 when XHR became fully-CORS), and you use it when you want to go cross domain. This works fine for many Ajax scenarios, and you can shim it into jQuery with this library, which hides the distinction between the two interfaces when you do CORS from jQuery:
https://github.com/MoonScript/jQuery-ajaxTransport-XDomainRequest