You misunderstood me. You can access the Microsoft CDN from two domains: microsoft.com and aspnetcdn.com. The former has cookies, the latter does not.

From http://www.asp.net/ajaxlibrary/cdn.ashx#ajaxmicrosoftcom_ren...:

The CDN used to use the microsoft.com domain name and has been changed to use the aspnetcdn.com domain name. This change was made to increase performance because when a browser referenced the microsoft.com domain it would send any cookies from that domain across the wire with each request. By renaming to a domain name other than microsoft.com performance can be increased by as much to 25%. Note ajax.microsoft.com will continue to function but ajax.aspnetcdn.com is recommended.