The most common definition is: XmlHttp is a set of APIs that can transmit or receive XML and other data through the http protocol in scripting languages ??such as javascript, VbScript, and Jscript. The biggest use of XmlHttp is that it can update part of the content of a web page without refreshing the entire page.
Explanation from MSDN: XmlHttp provides a protocol for the client to communicate with the http server. The client can send a request to the http server through the XmlHttp object (MSXML2.XMLHTTP.3.0) and use the Microsoft XML Document Object Model Microsoft® XML Document Object Model (DOM) to process the response.
Most of the current browsers have added support for XmlHttp. IE uses ActiveXObject to create XmlHttp objects. Other browsers such as Firefox and Opera use window.XMLHttpRequest to create xmlhttp objects.