source: https://www.securityfocus.com/bid/35570/info

Microsoft Internet Explorer is prone to a cross-site scripting vulnerability because it fails to properly sanitize user-supplied input.

An attacker can exploit this issue to execute arbitrary script code in the context of the user running the application and to steal cookie-based authentication credentials and other sensitive data that may aid in further attacks.

Internet Explorer 6 is vulnerable; other versions may also be affected.

With request to script at web site:

http://www.example.com/script.php?param=javascript:alert(document.cookie)

Which returns in answer the refresh header:

refresh: 0; URL=javascript:alert(document.cookie)