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If you have need to access the Global.ascx that seems to have disappeared in .NET 2.0 there's a quick fix.
If you are migrating an existing Web Application or just want to code against e.g
The Application_BeginRequest event, then you can by adding a Global.ascx file to you project.
Just because Visual Studio 2005 does not add a code behind file does'nt mean you can't.
Just create your own code behind.
Then add a handler for the Application_BeginRequest event handler.
Two other steps are needed to make sure the class that contains the event handler inherits from the System.Web.HttpApplication and that the Global.ascx file you create itself inherits from the new class you created that contains the event handler.
All the above steps should work with VB.NET also, but I' have only used these steps with C#.