Is accessing a "foreign" domain a security violation?

Hello,

I have some web pages hosted by a company and in some of the pages I use Javascript to play some mp3 files which are on another server of this company. It is a server configured for playing media files.

Opera indicated that this linking was a Javascript security violation. It did still play them!

IE and FF play them with no error message.

Is Opera being overly security aware in this respect ro should I be concerned?

Cheers

Geoff