I added one of these a while ago and figured I would include another. Dynamic AJAX Toolkit Controls seem to really be an issue for some, so I hope this helps. This time, we will create a dynamic ValidatorCallout for a TextBox with a RequiredFieldValidator (although you can use any validation method). One other thing to note on the ValidatorCallout is that it only works with client-side validation.
TextBox nameTextbox = new TextBox();
nameTextbox.ID = "name";
nameTextbox.MaxLength = 100;
RequiredFieldValidator nameRequired = new RequiredFieldValidator();
nameRequired.ID = "nameRequired";
nameRequired.ControlToValidate = nameTextbox.ID;
nameRequired.ErrorMessage = "Name is required.";
nameRequired.Text = "*";
ValidatorCalloutExtender nameRequiredCallout = new ValidatorCalloutExtender();
nameRequiredCallout.ID = "nameRequiredCallout";
nameRequiredCallout.TargetControlID = nameRequired.ID;