The Global.asax file, also known as the ASP.NET application file, is an optional file that contains code for responding to application-level events raised by ASP.NET or by HttpModules.
Please read what Global.asax is for:
MSDN: Global.asax File[
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Also, have a walk through this article, make sure you read "Life Cycle Events and the Global.asax file" section in the article:
MSDN: ASP.NET Application Life Cycle Overview for IIS 5.0 and 6.0[
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Trying to add or expecting a Global.asax in a class library does not makes sense. Please don't try.