Cross-Domain Ajax request

Hi everybody. I try to send an ajax-request to a different server than where my wordpress installation is hosted. This site returns a xml file which I need to process.

So this is the originial form how to snd things to the provider:

<h3>Step 2: XML authorizeSplit (server-2-server request)</h3>
	        <form action="https://.../file.jsp" method="post" target="_parent">
	            <fieldset>
	                <textarea style="width: 400px; height: 150px;" name="xmlRequest" id="xml-request"></textarea>

	                <div>
	                	<input type="submit" class="button" value="send" id="submit_payment" /><span class="buttend"></span>
	                </div>
	            </fieldset>
	        </form>

So I reformulated this into a typical wordpress ajax call:

jQuery Code:

$('#step2 #submit_payment').click(function() {

				var xmlRequest = $('#step2 #xml-request').val();
				var ajax_url = $('#step2').find('input[name="ajax_url"]').attr('value');

				$.ajax({
					type: 'POST',
					data: 'action=redirect_to_external&xml_request=' + xmlRequest,
					url: ajax_url,
					//async: false,
					beforeSend: function() {
						// display loading animation container
					},
					error: function(responseData, textStatus, errorThrown) {
						alert(textStatus);
					},
					success: function(data) {

						alert(data);

					}
				});

			});

PHP function the ajax request refers to:

function redirect_to_external() {

	$xml_request = $_POST['xml_request'];
	header("Location: https://.../file.jsp?xmlRequest=".urlencode($xml_request));

}
add_action('wp_ajax_redirect_to_external', 'redirect_to_external');
add_action('wp_ajax_nopriv_redirect_to_external', 'redirect_to_external');

So the callback is always giving me an error. But in general the ajax call works locally. In case I replace the header statement inside my php function and just echo some text, this is returned. So my question is how can I send my xml request to the external server. Is there any chance to do it this way or do I have to setup a proxy functionality or something else?

Any hints are very welcome.
Thanks in advance.

Cheers, kool