MSDN has an outline of the purpose of the global.asax file.
Effectively, global.asax allows you to write code that runs in response to "system level" events, such as the application starting, a session ending, an application error occuring, without having to try and shoe-horn that code into each and every page of your site.
You can use it by by choosing Add > New Item > Global Application Class in Visual Studio. Once you've added the file, you can add code under any of the events that are listed (and created by default, at least in Visual Studio 2008):
There are other events that you can also hook into, such as "LogRequest".