We present the first VLT near-IR observations of a gravitationally lensed quasar , using adaptive optics and laser guide star . These observations can be considered as a test bench for future systematic observations of lensed quasars with adaptive optics , even when bright natural guide stars are not available in the nearby field . With only 14 minutes of observing time , we derived very accurate astrometry of the quasar images and of the lensing galaxy , with 0.05″ spatial resolution , comparable to the Hubble Space Telescope ( HST ) . In combination with deep VLT optical spectra of the quasar images , we use our adaptive optics images to constrain simple models for the mass distribution of the lensing galaxy . The latter is almost circular and does not need any strong external shear to fit the data . The time delay predicted for SDSS J0806+2006 , assuming a singular isothermal ellipsoid model and the concordance cosmology , is \Delta t \simeq 50 days . Our optical spectra indicate a flux ratio between the quasar images of A/B=1.3 in the continuum and A/B=2.2 in both the Mg ii and in the C iii ] broad emission lines . This suggests that microlensing affects the continuum emission . However , the constant ratio between the two emission lines indicates that the broad emission line region is not microlensed . Finally , we see no evidence of reddening by dust in the lensing galaxy .