“Cross origin requests are only supported for HTTP.” error when loading a local file

My crystal ball says that you are loading the model using either file:// or C:/, which stays true to the error message as they are not http://

So you can either install a webserver in your local PC or upload the model somewhere else and use jsonp and change the url to http://example.com/path/to/model

Origin is defined in RFC-6454 as

   ...they have the same
   scheme, host, and port.  (See Section 4 for full details.)

So even though your file originates from the same host (localhost), but as long as the scheme is different (http / file), they are treated as different origin.