xmlhttp.status=0. Apache on VMWare. What is the problem?

I try to receive XML sample from w3schools.com (http://www.w3schools.com/XML/cd_catalog.xml) but get nothing (xmlhttp.status=0).
My local web server is Apache on VMWare (host OS Win7, Guest OS Ubuntu, Network adapter - NAT).
Here is the code:

xmlhttp=new XMLHttpRequest();
xmlhttp.open("GET","http://www.w3schools.com/XML/cd_catalog.xml", true);
xmlhttp.onreadystatechange=function()
{
  if(xmlhttp.readyState==4)
    alert("status " + xmlhttp.status);
}
xmlhttp.send();

It alerts "status 0".

I can open http://www.w3schools.com/XML/cd_catalog.xml in the browser (on virtual machine).

With the local XML file (cd_catalog.xml saved as a local file in the same directory as the script above) everything works OK.

xmlhttp=new XMLHttpRequest();
xmlhttp.open("GET","cd_catalog.xml", true);
xmlhttp.onreadystatechange=function()
{
  if(xmlhttp.readyState==4)
    alert("status " + xmlhttp.status);
}
xmlhttp.send();

It alerts "status 200".

What can cause the problem (xmlhttp.status=0) with online request?