If you are looking for some information on understanding the basics of HttpWebRequest connection management and servicepointmanager, I just posted an article which could be useful for you.

http://blogs.msdn.com/adarshk/articles/345411.aspx 

This is first in the series, in future posting I promise to provide more details about specific scenarios which include Http with authentication and proxy server and also for other protocols like FtpWebRequest and SmtpClient, which were added in .net frameworks 2.0.