Using Visual Studio Web Developer Express 2005 & versions above it, Ajax based applications may easily be created. Note that the Ajax Framework & Ajax Extensions should be installed (In case of VS 2005). If using Visual Studio 2008 Web Developer Express or above, Ajax comes along with it (so no need of a separate installation).
Steps: Start Visual Studio, Click on File -> New Website -> Under Visual Studio Installed templates -> Select ASP.NET Ajax-Enabled Site. Enter a location & select OK.