Since you don't specify what kind of authentication you're using, I'm going to make some big assumptions that you have some sort of login page/action that you post the username and password to, using those as the parameter names. If you have other fields -- like hidden fields to prevent cross-site request forgeries, you'd need to include those as well. I'm also going to assume that you know you're not already authenticated. There are ways to detect this, but I'm not going to cover them. I'll further assume that you're posting to the web site's actions, not to some API that requires a separate type of authentication.
The first thing you'd do is generate a POST (I assume) to the login action with a correct username/password combination. How you get these is up to you. This will authenticate you with the web site and supply your browser with the appropriate authentication cookie to send with future requests.
You'll need to detect and handle an authentication failure. If your login action understands that it might be invoked via AJAX (using the HTTP_X_REQUESTED_WITH header is a good bet), then it can return JSON with a status setting otherwise you'll need to scrape the returned HTML to figure it out.
Once you have the authentication cookie, you should be able to make your actual AJAX request without any special handling.