XMLHttpRequest cannot load
No 'Access-Control-Allow-Origin' header is present on the requested
resource. Origin '' is therefore not allowed access.
Origin '' stands for "http://domainname.ext", obviously.
CORS (cross origin resource sharing) relaxes this restriction by letting servers define which origins are allowed to call them through HTTP headers such as Access-Control-Allow-Origin. However, this is configured on the target server (www.salesforce.com) so Salesforce would need to provide these headers in response to your request, and they don't. Thus your request doesn't succeed and the browser gives you the error.
What is a little confusing about CORS is that you make a request to the server and it will respond with headers to indicate whether the request was allowed or not. The browser then tells you that you can't access that server, but it didn't know until you tried!
Update: See Use CORS to Access Supported Salesforce APIs, Apex REST, and Lightning Out