XML - XSL Stylesheet references another URL Access Denied

I just ran accross an interesting issue.

When generating an XML file in ColdFusion with an associated xsl style sheet reference in the xml head -= in Internet Explorer 7 I was getting this Error:
<link href="http://careers.jobs2web.com/view/xsl/job.xsl" type="text/xsl" rel="stylesheet">

The XML page cannot be displayed

Cannot view XML input using XSL style sheet. Please correct the error and then click the Refresh button, or try again later.

---

Access is denied.

The href attribute was pointing to a generic URL that was not the same URL as the file was being served up from. IE did not like this.

Once I changed this to be cgi.server_name instead - it worked as expected.

Firefox didn't care one way or the other - it rendered the file just fine, regardless of whether the xsl was on a different URL that the XML file was being served up on.

Wonder if this is deemed as some security breach?? Strange indeed.