Why HttpContext.Current.Session Is Null In Global.asax

I'm using VS2010 and created a simple asp. web forms application, using Development Server to test it. I try to store user data - queried from sql server - in the session, since I don't want to access database in every request. I'm using the 'Application_AuthenticateRequest' and the 'Session_Start' methods.

First round:

AuthenticateRequest called. The following code ran:

[Code]....

The _current variable is a private static field published through a static property. In the first round the Session is null, and I think it's ok because the Session_Start not called yet. The Session_Start looks like this:

protected void Session_Start(object sender, EventArgs e)
{
Session["EMPLOYEE_DATA"] = EmployeeFactory.Current;
}

In the next round the Session_Start is not called of course but in the AuthenticateRequest I can't access to the session. The HttpContext.Current.Session is null and the this.Session reference throw a HttpException says the "Session state is not available in this context".

However I can access the Session from any of the page_load events but it's a bad practice I think that I put authentication every page_load.