Why *.ashx files are not supported by VS.Net?

The most likely answer is the Visual Studio .NET product team didn't get to it in either the 2002 or 2003 versions. I believe there's more support for handlers in Visual Studio "Whidbey" however.
 
That's the simplest way (without registration in web.config and IIS) to build and use your own http handler ("redirect request to your own class").
 
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