Hmm. Not my idea of an ideal situation. I just don't like proprietary software - if used for internet based things - that is.
Imagine using this setup from your mobile phone. Not possible without ActiveXâ„¢. Using Android or iOS? Forget it! 
Really, using JSONp is easy. I'd take a look on jQuery or such for the caller page. Nice library that takes a lot of other nasty cross-browser issues away as well.
Also on the arduino side, it's just wrapping your result in a - always the same (!) - basic and easy format. A few bytes extra at most 