Download the latest version of jQuery [jquery.com]
Read the quick how-to document on creating an AJAX request using the load() function.
Create an html file for the test with a function to call load(), which only requires one argument, though you can add key/value request variable pairs if you want to call a PHP script. You can also specify a callback function to perform after the request. We'll keep this simple for the time being:
Click here to test
This sends a request to load.html and then populates the block id=loadtest with the response.
Seriously, that was it.
Now, this is obviously quite a rudimentary test lacking error checking and without proper callbacks, but I was shocked at how easy it was to implement. If you can get it up and running in five minutes, imagine what you could do in a day! The possibilities are vast!
-- UPDATE --