You can use custom http modules in Sitefinity 4, however you should register the custom module properly, depending on your IIS configuration. Please review the following article:
Some sample settings can be found at the bottom of the article.
Please note that all http modules are processed in the order they are listed.
the Telerik team
Do you want to have your say in the Sitefinity development roadmap? Do you want to know when a feature you requested is added or when a bug fixed? Explore the Telerik Public Issue Tracking
system and vote to affect the priority of the items