跨域窗口小部件请求

I'm currently trying to create a widget server which will serve widgets(duh), compareable to a google maps. Once the widget is loaded i will need to make additional calls to fetch more data if needed.
Since i'm loading the widgets via an ajax call and not iframe(due to styling concerns) i'm doing a cross domain call.
My question is fairly simple : how should i handle this?
I read about CORS and tried modifying my ajax response with an additional header :

Response.AppendHeader("Access-Control-Allow-Origin", "*");

but he doesn't even reach that line, my mvc project returns an empty result with statusCode 404 and status "Error".
At first he did an options call because i had content-type application/json but even text/plain does not reach my server.
Am I following the right approach? Should i embed my data as jsonp?
Feel free to share your insight.

Code that loads the widget :

$.ajax(
    {
        type: "GET",
        contentType: "text/plain",
        url: 'http://someotherdomain/widget/1',
        crossDomain: true,
        dataType: "json",
        success:function(data) {
            $('#targetDiv').html(data.htmlContent);
        },
        error: function(data) {
            alert('error...');
        }
    });