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You can build the same functionality offered by ISAPI modules when you use IIS 7.x in integrated pipeline mode. ISAPI modules are built using native code (mainly C++) and are quite difficult to master.
For compatibility with ASP.NET, you have to write a class that implements the IHttpModule interface (from the System.Web namespace). This interface provides a simple Init method that’s used to initialize its behavior: you’ll generally add an HttpApplication event handler in the Init method, but you can also use this method to initialize some application-specific data because this method is called when the application starts.