If you use Prototype, jQuery, Mootools or YUI you should find a X-Requested-With:XMLHttpRequest header which will do the trick for you. It should be possible to insert whatever header you like with other libraries.
At the lowest level, given a XMLHttpRequest or XMLHTTP object, you can set this header with the setRequestHeader method as follows:
xmlHttpRequest.setRequestHeader('X-Requested-With', 'XMLHttpRequest');