I need to send an AJAX request to, for example, port 8080 where a daemon is running there.
This breaks the Same origin policy. You cannot use a different port, even when using the same domain.
You can use JSONP as Doug suggested.
Or else, as another possible workaround, you could set up a very simple reverse proxy (using mod_proxy if you are on Apache). This would allow you to use relative paths in your AJAX request, while the HTTP server would be acting as a proxy to any "remote" location.
The fundamental configuration directive to set up a reverse proxy in mod_proxy is the ProxyPass. You would typically use it as follows:
ProxyPass /ajax/ http://www.localhost:8080/
In this case, you would request /ajax/test.xml
with jQuery, but in fact the server would serve this by acting as a proxy to http://www.localhost:8080/test.xml
internally.
If you are using IIS, you may want to use the Managed Fusion URL Rewriter and Reverse Proxy to set up a reverse proxy.