Retrieve an XML file (JavaScript)

I found this code on W3Schools and improve it , in the end it became sth like this :

    function LoadXML(){
if (window.XMLHttpRequest)
  {// code for IE7+, Firefox, Chrome, Opera, Safari
  xmlhttp=new XMLHttpRequest();
  }
else
  {// code for IE6, IE5
  xmlhttp=new ActiveXObject("Microsoft.XMLHTTP");
  }
  try{
xmlhttp.open("GET","file.xml",false);
    alert("first place");

xmlhttp.send();
    alert("2nd place");
}
catch(err){
alert(err.message);
}
xmlDoc=xmlhttp.responseXML; 

document.write("<table><tr><th>Artist</th><th>Title</th></tr>");
var x=xmlDoc.getElementsByTagName("CD");
for (i=0;i<x.length;i++)
  { 
  document.write("<tr><td>");
 alert( document.write(x[i].getElementsByTagName("ARTIST")[0].childNodes[0].nodeValue));
  document.write("</td><td>");
 alert( document.write(x[i].getElementsByTagName("TITLE")[0].childNodes[0].nodeValue));
  document.write("</td></tr>");
  }
document.write("</table>");
}

This code is available in :W3School Code

But when I want to run this code in my own PC , an error occur in try and catch block ! It shows that "Cannot load the "file.xml" . When I search for this error a topic in this link is the reason of error , So It seems that I can't do something like that in my Own PC cuz it uses http and need a server or a local host .

But This code is for a project in my class and one of the scenarios is (Retrieve Element of An XML File and show its content on my HTML page) !

I am sure that they will test this program on their own PCs .

So can anyone explain me a way to accomplish this scenario in A PC ?!

Note : The target browser is IE 8.0

Thanks in advance