OK... That was silly.
It seems that only this particular COM object misbehaved. COM Events can be handled as I expected:
code:
function OnEvent_Initialize(MessengerStart)
{
var xmlHttp=new ActiveXObject("Microsoft.XMLHTTP");
xmlHttp.onreadystatechange = ORSC;
Debug.Trace("Init complete.");
}
function ORSC()
{
Debug.Trace("onreadystatechange");
}
Thanks for reading. And thanks to CoolDuDe_i06 for inspiring me with the gmail script.