First of all, you need some basic ASP.NET knowledge. If you don't already have this, then be sure to check out our great ASP.NET tutorial. It will get you started. Using ASP.NET AJAX gets a lot easier if you have a proper IDE, and we recommend Visual Studio Express 2012 for Web, as described in our ASP.NET tutorial.
After you've installed the latest version, start up "Visual Studio Express 2012 for Web", and use the template "ASP.NET website" when you select "New Web Site..." from the File menu.
Read on in the following chapters, where we will get you started with ASP.NET AJAX.