If you want to use with to retain i, you'd either need to add it to an object that also references the xhr object:
for(var i=0;i<5;i++){
    with({i:i, xhr:new XMLHttpRequest()}) {
        xhr.open("GET","d.php?id=" + i);
        xhr.send(null);
        xhr.onreadystatechange=function(){
            if (xhr.readyState == 4 && xhr.status == 200)
                alert(i);
        }
    }
} 
Or you'd need to create the xhr outside the with and add i to it.
var xhr;
for(var i=0;i<5;i++){ 
    (xhr = new XMLHttpRequest()).i = i;
    with(xhr) {
        open("GET","d.php?id=" + i);
        send(null);
        onreadystatechange=function(){
            if (readyState == 4 && status == 200)
                alert(i);
        }
    }
} 
But if you want a proper, future-proof solution, make the handler in a variable scope that provides the variables needed for the handler.
function doRequest(i, xhr) {
    xhr.open("GET","d.php?id=" + i);
    xhr.send(null);
    xhr.onreadystatechange=function(){
        if (xhr.readyState == 4 && xhr.status == 200)
            alert(i);
    }
}
And call it like this:
for(var i=0;i<5;i++){
    doRequest(i, new XMLHttpRequest());
} 
Or if you insist upon inlining the function as some do, you could do it like this:
for(var i=0;i<5;i++){
    (function (i, xhr) {
        xhr.open("GET","d.php?id=" + i);
        xhr.send(null);
        xhr.onreadystatechange=function(){
            if (xhr.readyState == 4 && xhr.status == 200)
                alert(i);
        }
    }(i, new XMLHttpRequest());
}