Files to look at:

DevExpress Project Template - How to load a content using callbacks on a menu item click

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This example demonstrates how to load a content on a menu item click using CallbackPanel callbacks or the jQuery.ajax function.
Note that the jQuery.ajax function doesn't require placing the CallbackPanel on a page(see Provide support for different callback types (jQuery.ajax, Ajax.ActionLink, etc.) for additional details) 

See also: 
Navigation - How to implement callback-based navigation in the project generated by the Template Gallery