yeah, you literally write the HTTP request and then send it to the target page. PayPal does this with some of their APIs.
The receiving page sends the response as normal (no fancy whatevers, just echo it).
example:
PHP Code:
<?php
# untested, but similar to working scripts I've made in the past
$connection = fsockopen("example.com", 80, $errno, $errstr, 30);
if (!$connection) { print "$errstr ($errno)<br />\n"; }
else {
$request = "GET /process.php?var=somevalue HTTP/1.1\r\n";
$request .= "Host: example.com\r\n\r\n";
fputs( $connection,$request );
while( !feof( $connection ) ){
print fgets($fp, 128);
}
fclose($fp);
}
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