Wordpress plugin: Hook on custom url

A simple

if ($_SERVER["REQUEST_URI"] == '/mycustomplugin/myurl.php') {
  echo "<my ajax code>";
}

Should work wonders.

To filter your custom URL before Wordpress starts executing queries for other things use something like this:

add_action('parse_request', 'my_custom_url_handler');

function my_custom_url_handler() {
   if($_SERVER["REQUEST_URI"] == '/custom_url') {
      echo "<h1>TEST</h1>";
      exit();
   }
}