There was a great thread about this a few months ago: http://www.reddit.com/r/AskHistorians/comments/2n38ll/how_much_part_from_the_book_of_esther_is_fact_and/

The short answer is that essentially nothing in the Book of Esther should be taken as history. It was written as a work of fiction, probably sometime in during the Hellenistic period (c. 2nd century BC), based on the language and when the first copies show up in other records. Note that his is a good 600 years after the events that it supposedly depicts. When it was written, it seems to have been considered a sort of "historical novella", like Daniel, rather than a liturgical work. The Jewish holiday of Purim is not mentioned anywhere in the Tanakh (Jewish Old Testament), and seems to have developed into it's current form (costumes, gift-giving, heavy drinking, etc) sometime in the Early Middle Ages, and maybe even later than that.