I have configured quite a few Windows 2003/2008 servers. I work for .NET development company, so as you might imagine I've had plenty of chances to install/reinstall and administrate such servers, both for us and our clients (we have two as well - a development one and a production one).
What you probably need is IIS, with ASP.NET, SQL Server, some email server (I recommend MailEnable as best free solution), FTP and DNS server. AJAX Extensions don't need to be installed. ASP.NET 3.5 comes with everything needed for AJAX development. If you are referring to AJAX toolkit, that is a simple dll that gets automatically deployed with a project that references it.
Please let me know if you need more details regarding my activity and experience.