Cross-site HTTP requests are HTTP requests for resources from a different domain than the domain of the resource making the request.  For instance, a resource loaded from Domain A (http://domaina.example) such as an HTML web page, makes a request for a resource on Domain B (http://domainb.foo), such as an image, using the img element (http://domainb.foo/image.jpg).  This occurs very commonly on the web today — pages load a number of resources in a cross-site manner, including CSS stylesheets, images and scripts, and other resources.