I dug this out of my bookmarks: http://jibbering.com/2002/4/httprequest.html. This describes how to setup a JavaScript to fetch data from the server without reloading the browser window (and without using frames).

Note: HTTP was designed as a stateless protocol, which has caused no end to annoying hacks like this one. Most of the things people belly-ache about on the web (cookies, JavaScript, etc.) were created to get around HTTP's flaws.