Web applications don't really have state in the same way that normal windows programs do. Sometimes we forget this because sessions allow us to do a decent job of approximating state... but thing of all the problems people have trying to simulate state. For any single page you've jump to go through programmatic hoops to figure out who is this user? Has he logged in? What pages in the application did he already view and all that stuff.
Redirect is another weak link in the chain. It does not MOVE the user to another page, it sends a command to the user ASKING them to request some other page. Usually this happens without a hitch because most people have their browser security settings low enough to automatically follow any redirect, but not everyone...
Because a redirect is simply asking the browser to request another page, the URL that you give them to ask for must be something they can reach... something they can understand... If you give them a local file path then that wont work... actually it MIGHT work if you were sitting there using a browser on the web server itself but otherwise no dice.
Sometimes you realy want to be using Server.Transfer or Server.Execute instead of Response.Redirect... but they have their own issues. You've just got to lay out what you are ultimately trying to accomplish and see which fits best to make the best approximation of application state.
