Edit in JSFiddle

var XHR = (function(){
    var ins = [
        function(){return new XMLHttpRequest();},
        function(){return new ActiveXObject('Msxml2.XMLHTTP');},
        function(){return new ActiveXObject('Microsoft.XMLHTTP');}
    ],i,tmp;
    
    return (function tryIns(i){
        i = i || 0;
        while(i < ins.length){
            try{tmp = ins[i]();}
            catch(e){i++; tryIns(i);}
            finally{return ins[i];}
        }
        throw new Error("Your browser doesn\'t support Ajax requests");
    })();
})();

var xhrInstance = XHR();
$('catch').set('text',xhrInstance);

<div id="catch"></div>