There are lots of ajax libraries which can be used to implement ajax in any website or any web project. Anthem.net is a famous opensource Ajax library which can be used to implement ajax functionalities to an ajax enabled website.
Visual Studio 2008 provides in build libraries for Ajax support. Ajax control toolkit has to be downloaded and installed in the case of VS2005 and VS2008 bypass this step.
Various sample functions of Ajax can be found here to take a look before starting with the actual coding.
Download Ajax control toolkit. (AjaxControlToolkit-NoSource.zip would be fine if you are just going to use and Ajax controls)
Once it has been installed properly you would be able to see ASP.Net Ajax-Enabled Web Application in the New project menu.

Download ASP.Net Ajax Extensions for using the Ajax controls to your project.
Ajax Extensions can be installed with the help of this video and after installing you should be able to see the tools in your IDE.
Let me explain the steps to connect an Ajax Autocomplete extender control with an access database in the later post. This can be done by writing a webservice to connect to the database.
