It sounds like you are running these HTML files by double clicking on them (i.e. file:/// URLs).
A lot of browsers won't load anything from an AJAX request when a file is opened directly from the hard drive. Fear not, the solution is simple, you only need to run Apache or IIS to get things happening.
If you're after a local setup for Apache, I tend to use the XAMPP package a lot - makes for a pretty painless way to install Apache (http://www.apachefriends.org/en/xampp.html).