User-Agent isn't allowed:
You can't do this in a half-decent browser because of security issues surrounding it. You don't want XSS scripts to be changing request headers and running rampant on your site.
However I believe there's a workaround in IE if you use VBScript:
MyHttp.setRequestHeader "User-Agent", "MyCustomUser"
The alternative is to have a web page on your site dedicated to forwarding a GET request, changing the appropriate headers as necessary.
In short: You can't due to built-in cross-domain limitations.
One way "around" that was to write a proxy-webservice and let the server spoof whatever headers you need spoofed.
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