Vivek's answer that cross domain requests aren't allowed by the browser is true, except for the CORS mechanism, whereby newer browsers that support it can try in a cross origin way to servers that also support it.
However, unless that remote server support it itself, there is nothing you can do. If I server my app from A, and want to connect to B, only B can authorize that. If A were allowed to permit my app to connect to B via some filter or servlet, then I could write an app that makes calls to gmail or facebook or twitter and read/write your settings and personal data at those other urls.
So instead, it is the cross origin server that you are contacting that must approve the connection with the header you mentioned. In lieu of that, you can still use your own server as a proxy for the cross origin server.