Actually, the first commrecial application that could be called AJAX was Microsoft's Outlook Web Access (OWA). It's first version was created in 1998, so technically Microsoft was one of the first companies to use this technology, though at the time it wasn't named at all (certainly not AJAX).

Microsoft failed to realize the potential of this technology and it is clear in the products that followed OWA. In its development environmnet, ASP.NET, a framework to easily created AJAXian application only appeared as an addon for ASP.NET 2.0 and its still in development. The framework is named Atlas.