Are you sure the curl module honors ini_set('user_agent',...)? There is an option CURLOPT_USERAGENT described at http://docs.php.net/function.curl-setopt.
Could there also be a cookie tested by the server? That you can handle by using CURLOPT_COOKIE, CURLOPT_COOKIEFILE and/or CURLOPT_COOKIEJAR.
edit: Since the request uses https there might also be error in verifying the certificate, see CURLOPT_SSL_VERIFYPEER.
$url="https://new.aol.com/productsweb/subflows/ScreenNameFlow/AjaxSNAction.do?s=username&f=firstname&l=lastname";
$agent= 'Mozilla/4.0 (compatible; MSIE 6.0; Windows NT 5.1; SV1; .NET CLR 1.0.3705; .NET CLR 1.1.4322)';
$ch = curl_init();
curl_setopt($ch, CURLOPT_SSL_VERIFYPEER, false);
curl_setopt($ch, CURLOPT_VERBOSE, true);
curl_setopt($ch, CURLOPT_RETURNTRANSFER, true);
curl_setopt($ch, CURLOPT_USERAGENT, $agent);
curl_setopt($ch, CURLOPT_URL,$url);
$result=curl_exec($ch);
var_dump($result);
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