No, Caja doesn't have special requirements of the web server its files are on.
Oh, but maybe you have a cross-origin policy. If you're trying to load content using Caja from a third-party site (rather, one with a different domain name), then either you need to use a proxy (there's one supplied with Caja, but it's a bit of a mess), download the content via your own server first and provide it to Caja as a string, or have the other site allow access via CORS (Access-Control-Allow-Origin header).
If that's the problem, then there will be a message in your JavaScript console complaining about the lack of Access-Control-Allow-Origin.
If that's not the problem, we'll still need more information to go on. A complete copy of what's in the JavaScript console on the page that's trying to use Caja would be a good starting point.