> Set xmlhttp = CreateObject("Microsoft.XMLHTTP")
> xmlhttp.open "POST", "https://ssl.ditonlinebetalingssystem.dk/remote/
> payment.asmx", false
> xmlhttp.setRequestHeader "Content-Type", "text/xml; charset=utf-8"
> xmlhttp.setRequestHeader "SOAPAction", "https://
> ssl.ditonlinebetalingssystem.dk/remote/payment/authorize"
> xmlhttp.send strSoap
> authorize = xmlhttp.responseText

As Martin commented, you should definitely be using Server.CreateObject in 
an ASP page, and be using ServerXMLHTTP component, not XMLHTTP. 
ServerXMLHTTP uses WinHTTP as its HTTP transport stack, by the way, which 
means you may see some slightly different behavior especially wrt to proxies 
than using XMLHTTP. Read up on the docs if you do.

> It all works fine as I boot my server and I call the script above. But
> after sometime I get an error about a resource could not be.

Could not be........what?

> However if I on my server ensures that ordinary http (port 80) is
> enabled in my firewall from my server to the outside the error will
> not occur.

It would help to have more details about he error itself.