You've got a lot of options. The classic form approach method lets you use the Ajax Control Toolkit from Microsoft that has a lot of useful AJAX .NET controls inside it. This approach works pretty well but in my experience lacks a lot of fine points that you'll discover the more you use it.
An alternative approach is to touch on tool sets from companies like Telerik that offer some nifty AJAX .NET tools to do most of the work you are trying to accomplish. Their RadWindow and RadWindowManager might help you out with your issue if that is the approach you want to take. The downside here is that you are going to get cornered into redesigning approaches based on what the plugin manufacturer deems is the 'right' way to tackle a problem. It's just something to be weary of and if you are in the accessibility domain or wish to be there one day then I would stay clear of this approach.
If you're still toying with the idea of complete control then I suggest doing some research on using Web/User Controls in .NET and then building the forms and using a modal even to let he window load. It seems a bit too trivial to implement but the best part of it all is that you get complete control on all the events of the window firing thus leaving room for testing, optimization and even the ability to change the behavior of what you expect at the end of the day.
Some links that will help you with any of the above mentioned methods
http://www.asp.net/ajaxlibrary/ajaxcontroltoolkitsamplesite/
http://www.telerik.com/products/aspnet-ajax/controls.aspx
