Hi,
Server.Transfer simply changes the "focus" on the Web server and transfers the request instead of telling the browser to redirect. This means there is no new request to the web farm when using Server.Transfer. Hence, it should not redirected to a different physical server.
If you are using "InProc" mode with web farm, you may encounter some issue (session lost etc.). This is because the different requests may been forward to different physical server. Below is an article about Affinity in the NLB, hope helps:
Preserving Session State in Network Load Balancing Web Server Clusters
http://technet.microsoft.com/en-us/library/cc781149(WS.10).aspx