In the move from Flash Player 9 to 10, Adobe increased the security constraints on sockets. If you are using sockets to connect to an "un-trusted" server, then you will still need a Cross-Domain Policy file, however that policy file must also be served up through sockets (not through HTTP).
You will need to run a socket server on the server you are connecting to in order to serve up the appropriate XML document through port 843 (by default). This socket server can be implemented in any number of ways, but I use a Java socket server that Thomas over at LessRain has posted on their blog. You can find it here: http://www.blog.lessrain.com/as3-java-socket-connections-to-ports-below-1024/
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