By default, HttpWebRequest tries to use persistent connections. Now, if the
server is closing the connection after each request, then the client will be
forced to create a new one.

Also, are you tweaking any connection related properties on the webrequest
object, like: KeepAlive, ConnectionGroupName etc? Depending on what you set
there, it might affect connection reuse also

To answer your question, setting request.KeepAlive=true causes connection to
be reused.