Here's my scenario.  Please advise me if you can.

I have an ASP.NET web application on a corporate intranet which
retrieves some user information it uses from a webservice.  The data
does not change often, but when it does, my site needs the updated
information.  The connection to the database is slow and occasionally
unreliable.  To avoid problems, we are storing the needed information
in cookies that do not expire for over 10 years.  We use the cookie
values in the absence of "better information".  Periodically we'd like
to update the cookie values.  Our approach is to include an additional
cookie that expires weekly.  When a user returns to our site, we check
for the presence of this cookie, if it is not present (new user or
expired cookie) we need to query the webservice.  This can take long to
return (or may timeout), and we cannot make our users wait.  BTW, all
of this processing occurs in a PreRequestHandlerExecute event handler
method of an HTTP module.

In order to refresh the data without waiting, I would like to call the
web service asynchronously.  I have written the code to use an
HttpWebRequest object and call the BeginGetRequestStream method.  I
have a callback function that parses the responsestream and extracts
the data I need.  I need to put this data into cookies.  I can wait
until the next request/response cycle.

My question is this:  Since the callback function may not be invoked
until after the response has been streamed to the client, where can I
put the information I've retrieved?  I've tried adding a reference to
the current session to my state object.  I then store the information
in Session variables using the state object.  This works while the cal
back function is executing (the values exist in session variables).
The values are gone when the next request cycle is processed.

Am I doing something wrong?  Is this not a viable approach?  If not,
where can I store this data in the case that the response has already
been streamed to the client?

Again, any advice would be appreciated.