You mentioned AJAX. Are you using AJAX, or not? As I said in my first reply, for asp.net you should be using master pages.
If you are not using asp.net, you can use DWTs, but the situation you describe doesn't require multiple DWTs. Just put the header, footer, and navigation all in the DWT. As I already said, DWTs are handled by DWT during design, not combined on the
server.
... And Master pages are combined on the server. They can also be nested, while EW's DWTs cannot (with any reliability).