Ajax is a group of interrelated Web development techniques used on the client-side to create asynchronous Web applications, and uses a combination of:
- XMLHttpRequest object (to exchange data asynchronously with a server)
- JavaScript/DOM (to display/interact with the information)
- CSS (to style the data)
- XML (often used as the format for transferring data)
Dreamweaver is equipped to deal with each of the above.
I have not used SQL Express, but it should not be too hard to setup within the Dreamweaver environment. I normally use PHP/MySQL