I've read about this at xajax forums and I'ts called http streaming. When reading comments in there, I stumbled to COMET (thats what the way its called I think).
COMET is coming to xajax 0.5 (cant wait for this one) and if you are really into AJAX with PHP I think you should definetly look into Xajax project. Anyway, theres javascript projects that uses that comet thingie so try to google around(maybe sourceforge also)..