Hi,
I have been working on the same kind of thing a few days back for one of my clients - his requirements were exactly the same. The problem is that we can very well refresh the content/load them without any actual page refresh using AJAX but the problem is that when URL is updated, the page tends to refresh - which is how web browsers used to get designed. Fortunately, all modern browsers now support HTML5 and using that we can use the Browser History function of HTML5 to change the URL without and actual page refresh. Send me your web site link so I can see if there are any other issues that might arise.