Thank you Rahul for the prompt reply.
Yes I sent back the following headers from the JSP file that generated the xml data:
Pragma: public
Cache-control: cache, must-revalidate
I catched the response header and confirmed that the headers are set correctly as above. But I still saw the "movie not loaded" issue.
When I tried to also set the above mentioned headers in the page that calls the "setDataURL" method, I just got nothing in the response page.
One thing I noticed is that when I placed the files to a server side location that does not require login authentication, then it works on IE also.