I can't speak to the Server.TransferRequest method. Can you post a sample piece of code to see if we can reproduce the issue?
Another option is to try having your application pool in classic mode and see if the behavior is the same as IIS 6.
Steve Schofield
Windows Server MVP - IIS
http://weblogs.asp.net/steveschofield
http://www.IISLogs.comLog archival solution
Install, Configure, Forget