To determine the safety of polyethylene glycolated IL-2 (PEG IL2) administered weekly or biweekly (per amendment) in a setting of oral zidovudine (AZT). To determine the effect of PEG IL2 in combination with AZT on parameters assessing the immune system as well as HIV virus and antibody titers. To evaluate a chronic dosing study phase offered to patients who complete the initial 25-week regimen.