Security violation foreign domain?

Hello,

I have been using Javascript to access some audio files from another
server and there has been no associated problem with IE or FF but
Opera gave an error message which led me to read that accessing files
from a "foreign" domain name is a security violation for Javascript.

This true? If yes, why do all above browsers allow it to happen?!

The reason for putting the audio files on another server was to cope
with a possible heavy demand brought about by a radio mention of this
site.

Any workaround?

Any thoughts? 

Cheers

Geoff