The common Scenario is
Step 1:
User send request to access the URL from browser via Request object
Step 2
The web server give the page in html and obviously it will be index.html or default.html (or what you set default page in your web document, usually it is your home page named with index.html or default.html)
Step 3:
Once user get the response via response object from Server, he then make postback and send data form and then depends what statement management will be used either Session, application etc.
Because http is stateless protocol and to manage the state web technologies has introduce the concept of statement management either client side or server site state.