In this paper we introduce certain basic notions concerning infinite dimensional complex manifolds, and prove that the Dolbeault cohomology groups of infinite dimensional projective spaces, with values in finite rank vector bundles, vanish. Some applications of such vanishing theorems are discussed; e.g., we classify vector bundles of finite rank over infinite dimensional projective spaces. Finally, we prove a sharp theorem on solving the inhomogeneous Cauchy–Riemann equations on affine spaces.