Yes you can set this in Internet Options: Go to the Security tab. For the current zone click the “Custom level…” button. In the next window, scroll about a third of the way down to “Miscellaneous > Access data sources across domains” and set it to “Enable”. If the current zone is Internet, then you should add the site to the trusted and set this option for the trusted zone instead.
Note that this will effectively disable CORS and will not set the Origin header in the request.
If the resource your accessing requires authentication, you’ll need to deal with this manually in the request or pre-authenticate yourself in your current browser session.