The following links are the answer:
http://softwareas.com/cross-domain-communication-with-iframes
http://shouldersofgiants.co.uk/Blog/post/2009/08/17/Another-Cross-Domain-iFrame-Communication-Technique.aspx
Basically, from the main window, we are polling the iframe url for changes in the hash part (url#your-messaging-here), and act upon it, the actions on the iframe result in the change of the href.