Where should define the HTTPModule?

You should make entry in Web.config in like below to call HTTModule.

<httpModules>
<addname="FederatedAuthentication"type="Microsoft.SharePoint.IdentityModel.SPFederationAuthenticationModule,Microsoft.SharePoint.IdentityModel,Version=15.0.0.0,Culture=neutral,PublicKeyToken=71e9bce111e9429c"/>
<addname="SessionAuthentication"type="Microsoft.SharePoint.IdentityModel.SPSessionAuthenticationModule,Microsoft.SharePoint.IdentityModel,Version=15.0.0.0,Culture=neutral,PublicKeyToken=71e9bce111e9429c"/>
<addname="SPApplicationAuthentication"type="Microsoft.SharePoint.IdentityModel.SPApplicationAuthenticationModule,Microsoft.SharePoint.IdentityModel,Version=15.0.0.0,Culture=neutral,PublicKeyToken=71e9bce111e9429c"/>
<addname="SPWindowsClaimsAuthentication"type="Microsoft.SharePoint.IdentityModel.SPWindowsClaimsAuthenticationHttpModule,Microsoft.SharePoint.IdentityModel,Version=15.0.0.0,Culture=neutral,PublicKeyToken=71e9bce111e9429c"/>
<addname="ScriptModule"type="System.Web.Handlers.ScriptModule,System.Web.Extensions,Version=3.5.0.0,Culture=neutral,PublicKeyToken=31BF3856AD364E35"/>
<addname="OnlineActiveUsers"type="GlobalSessionOut.CustomModule,GlobalSessionOut,Version=1.0.0.0,Culture=neutral,PublicKeyToken=b706108747a1b3f4"/>
httpModules>

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