<p>I am working on a form, which I would like to validation features like <a href="http://ui-patterns.com/pattern/InputFeedback" rel="nofollow noreferrer">This</a>. Should this all be done on clientside? or server side? I am aware of using some of MS ajax controld, however, at what point do I display the message at the top?</p>

<p>I hope I explained myself.</p>

You
should
validate at both ends.
Client side to make sure feedback is immediate so users can complete it fast (a bonus for them) and you save server resources (bonus for you).
Server side to make sure that any user-agents not using JS can check the incoming data. This is essential to stop malicious/corrupt data entering your system.
If you were only going to do one, make it server side, but there are considerable benefits to the user by implementing a dual-system.