XMLHttpRequest Access Denied

I am trying to learn a little bit of AJAX. The first exerise in my textbook tells me to read a local file and display it. Sounds easy. I set up some code to create an XMLHttpRequest. Creation works okay. Then I try to call the open() method and specify the local file I want to read. Bamm. Internet Explorer says that the access is denied.

I am running Internet Explorer 8. That is the version installed on my computer. First I try changing the security in Internet Explorer. No luck. then I try using XDomainRequest object instead of XMLHttpRequest. Also no luck. This is frustrating because this is supposed to be the easiest exercise.

When I get into situations like this, I try some other browsers. Chrome was no good. But Firefox magically worked using XMLHttpRequest. This really should not be that hard. Isn't AJAX one of those common things that everyone on the web uses? I guess I should try back again with IE when I upgrade to something like IE version 10.