Session affinity not supported in IIS?

Hi. I've been researching fastcgi as a way to improve performance of our
cgi application and I believe session affinity *would* be the way to go
in order to cache things like database connections. However, as best as
I can tell, it's not implemented at all for IIS, and even for apache it
appears to be a semi-unofficial patch that is sort of out of date. Is my
assessment of SA accurate?
 
Our application currently operates in both servers, so what are my
options with regard to caching DB connections, etc. in order to maximize
performance? My first thought would be to take a multi-threaded approach
with a manager thread that would mimic the session affinity concept and
pass requests to the appropriate thread. Of course, that would mean
having to manage the threads (request queuing for each worker thread,
etc.).
 
Is this the direction I would have to go? Or are there other/better
approaches I should consider?

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