Stored Procedures And Permissions

i have a stored procedure that calls another stored procedure which does the following:

exec @hr = sp_OACreate 'MSXML2.ServerXMLHttp', @obj OUT
if @hr < 0
begin
/* Raiserror('sp_OACreate MSXML2.ServerXMLHttp failed', 16, 1) */
return
end

exec @hr = sp_OAMethod @obj, 'Open', NULL, 'GET', @sUrl, false

now if I execute the first sp in management studio it doesn't error but if I call from asp it does error.
I gave the user permission to the first sp -- so I need to give permi