Add header in AJAX request with jQuery

I would like to add a custom header to an AJAX POST request from jQuery.

I have tried this:

    type: 'POST',
    url: url,
    headers: {
        "My-First-Header":"first value",
        "My-Second-Header":"second value"
    //beforeSend: function(xhr) { 
    //  xhr.setRequestHeader("My-First-Header", "first value"); 
    //  xhr.setRequestHeader("My-Second-Header", "second value"); 
}).done(function(data) { 

When I send this request and I watch with FireBug, I see this header:

OPTIONS xxxx/yyyy HTTP/1.1
User-Agent: Mozilla/5.0 (Windows NT 6.1; WOW64; rv:11.0) Gecko/20100101 Firefox/11.0
Accept: text/html,application/xhtml+xml,application/xml;q=0.9,/;q=0.8
Accept-Language: fr,fr-fr;q=0.8,en-us;q=0.5,en;q=0.3
Accept-Encoding: gzip, deflate
Connection: keep-alive
Origin: null
Access-Control-Request-Method: POST
Access-Control-Request-Headers: my-first-header,my-second-header
Pragma: no-cache
Cache-Control: no-cache

Why do my custom headers go to Access-Control-Request-Headers:

Access-Control-Request-Headers: my-first-header,my-second-header

I was expecting a header values like this:

My-First-Header: first value
My-Second-Header: second value

Is it possible?