You need to make sure that you follow the ReturnOfSmartPart installation instructions closely to ensure that SmartPart get's installed in WSS properly. After that all you need to do is:
1) create a new User Control
2) Drag an Update Panel to the form
3) place whatever controls you need inside the Update Panel
4) save your work
5) Create a Folder called "User Controls" in your WSS web directory (inetpub\wwwroot\wss\80\User Controls (not exact))
5) Copy your User Control Files to your WSS 3.0 User Control Directory
6) Install the feature (Return Of smartpart v1.3) from site Collection feature.
7) Add a New Web Part (SmartPart with AJAX) to your page
8) Open the SmartPart control panel and use the drop-down list to find your "User Control"