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.

It is used to storing the global information about the 
application

You can use global.asax file to define global variables and 
react to global events,such as when web application first 
starts. Visual studio doesn't create a global.asax file by 
default you need to add it when it is approprieate.

Global.asax is a file, as the name suggests that resides in 
the root directory (in the global area) of your 
application. It is inaccessible over the web but is used by 
the ASP.NET application if it is there. It is a collection 
of event handlers that you can use to change and set 
settings in your site. The events may occur from one of two 
places - The HTTPApplication object and any HTTPModule 
object that is specified in web.config or machine.config.

The Role of Global.asax
1> it is used to implement application level event and 
session level event.
2> it is also used to track the current application.
3> it provides place for the application to declare global 
variable for application.

It is used to implement the application and session level 
event ,for ex- session_start,Application_start etc

The Global.asax file is an optional file that can contain 
declarations of objects, variables, and methods that can be 
accessed by every page in an application.The Global.asax 
file can contain only the following:

Application events 
Session events 
<object> declarations  
TypeLibrary declarations 
the #include directive 
    The Global.asax file must be stored in the root 
directory of the application, and each application can only 
have one Global.asax file.