To define the best doses of sargramostim ( granulocyte-macrophage colony-stimulating factor; GM-CSF ), interferon alfa-2b ( IFN-A2b ), and zidovudine ( AZT ) to give together in patients with AIDS-associated Kaposi's sarcoma ( KS ), to learn about the side effects of these drugs when they are given together for 8 weeks, and to find out whether the combination of GM-CSF, IFN-A2b, and AZT has any effect on KS, HIV, or the immune system.