XMLHttpRequest is a built-in object in web browsers.
It is not distributed with Node; you have to install it separately,
Install it with npm,
npm install xmlhttprequest
Now you can require it in your code.
var XMLHttpRequest = require("xmlhttprequest").XMLHttpRequest;
var xhr = new XMLHttpRequest();
That said, the http module is the built-in tool for making HTTP requests from Node.
Axios is a library for making HTTP requests which is available for Node and browsers that is very popular these days.