Hi,
.aspx - Active Server Page Extension
.asax - Active Server Application Extension
.asax is the global file at the application level so all the application level, session level events, errors can be handled by using this file.
There are the events like Application_Start, Session_Start which can be used to make the application level or session level data available.
Like if there is a requirements to show the hit count of the website, then we can use the Application_Start event and keep track of the count for the hits for the website. Also we can make use of the Session_Start event when there is somethign related to the session of the user..like based on the roles, we want to show somethign to the users.
Hope this will help you