Apparently it doesn't have the other classes available which seems to me to make use of the native XMLHttpRequest impossible as you still need ActiveX to manipulate the returned data if it's in XML rather than JSON for example.
I'm trying some experiments as to what properties the object has and if it supports expando.
It's also makes using difficult because if you test window.XMLHttpRequest to see which version to use you then still need to test further to differentiate between IE7 and Mozilla.
I'll post on my blog when done.
Joe (Microsoft MVP - XML