Hard to really answer that without more information about how you have implemented the site.
Basically, an AJAX call is not much different from any other request. It calls (in this case) a PHP script that fetches the information from the database, and then it likely does something fun with the result it gets.
Anyway, as mentioned earlier, it's somewhat difficult to explain unless I have more details about the implementation, how the site is built, how it's loaded on the server side etc. NetTuts+ has a few examples here on how to do AJAX calls with the jQuery framework and you can find a whole bunch of information by searching for PHP and AJAX.
Good luck with this.