Caveats
Before we go any further a few issues need to be put forward for your consideration. Firstly, though this method of interaction can save you bandwidth by making smaller requests for updated information, particular uses can result in your server getting lots more requests. For example, a chat application built with this kind of script wills till be requesting data once every few seconds, and if you have a lot of users this could mount up quickly.
Our second consideration is that these scripts use JavaScript, and as anybody with some accessibility knowledge knows, this is not always an accessible solution since many browsers don't have it or have disabled it. If accessibility is of a primary concern to you, you'll need to provide some alternative method of interaction that produces a similar result, not always an easy prospect. Similarly, this technique will not work with browsers earlier than IE 5.5, Firefox and Opera 7.63.
Since this technology works over HTTP, you'll need a proper web server to test it. The script won't work if you just try and test locally via the filesystem. Because of this it's useful to set up the site in Dreamweaver to use a testing server for previewing purposes. I used a local install of Apache, and store the files in a directory that mapped to http://localhost/xmlhttp/