MSDN can explain better han me so I'll just cut and paste their intro to it!

The Global.asa file is an optional file in which you can specify event scripts and declare objects that have session or application scope. It is not a content file displayed to the users; instead it stores event information and objects used globally by the application. This file must be named Global.asa and must be stored in the root directory of the application. An application can only have one Global.asa file.

Global.asa files can contain only the following:

Application events
Session events
<OBJECT> Declarations
TypeLibrary Declarations