Can't download file with HTTP request: response for preflight is invalid

Question

I'm trying to use an HTTP request in JavaScript to retrieve a file from the Slack API. I managed to get the url_private_download of the file, but if I try to make an HTTP GET request using that URL, I get an error in the console saying that: Failed to load url_private_download: Response for preflight is invalid (redirect).

Here's my code:

  var xmlHttp = new XMLHttpRequest();
  xmlHttp.onreadystatechange = function() {
   if (xmlHttp.readyState == 4 && xmlHttp.status == 200) {
    console.log(xmlHttp.responseText);
   }
  };
  xmlHttp.open("GET", url_private_download, true);
  xmlHttp.setRequestHeader("Authorization", "Bearer " + my_slack_token);
  xmlHttp.setRequestHeader('Access-Control-Allow-Headers','*')
  xmlHttp.send(null);