What is the role of global.asax?

The Global.asax file is in the root application directory. 
While Visual Studio .NET automatically inserts it in all 
new ASP.NET projects, it's actually an optional file. It's 
okay to delete it?if you aren't using it. The .asax file 
extension signals that it's an application file rather than 
an ASP.NET file that uses aspx.

The Global.asax file is configured so that any direct HTTP 
request (via URL) is rejected automatically, so users 
cannot download or view its contents. The ASP.NET page 
framework recognizes automatically any changes that are 
made to the Global.asax file. The framework reboots the 
application, which includes closing all browser sessions, 
flushes all state information, and restarts the application 
domain.

 

The global asax is very important. Sometimes you want that some code will be  executed once the application is started, sometimes you want to execute some code for a particular session and not for another
http://en.wikipedia.org/wiki/Global.asax