Why is my Cross-Origin Request Blocked although I have set Access-Control-Allow-Origin?

This is my code :

  var req = {
      method: 'GET',
      headers: {
          'Access-Control-Allow-Origin': '*'
      },
      url: '~my url~'
  }

  $http(req).success(function(data) {
      console.log(JSON.stringify(data));
      window.location = "myPage.html";
  })
  .error(function(data) {
          alert('Login Failed');
      });

I have included Access-Control-Allow-Origin in the header, but I still get the following error :

Cross-Origin Request Blocked: The Same Origin Policy disallows reading the remote resource. (Reason: CORS header 'Access-Control-Allow-Origin' missing).

What is wrong with my code?