What is Network Load Balancing (NLB) ? http://www.microsoft.com/technet/prodtechnol/windowsserver2003/library/TechRef/6ac4a6ba-1c0c-46be-8c6a-2c2e0e567e98.mspx
What configurations does MS support in NLB at the time of this writing (Short Answer: SingleCall)? http://support.microsoft.com/default.aspx?scid=kb;en-us;830217
A lot of current implementations use Singletons in NLB (this configuration is possible with the framework but is not supported by Product Support Services). What does this mean? Well, you run into this error: System.Net.WebException, “the underlying connection was closed.” Typically this occurs because the NLB solution sends a reset on the port of the server. Generally you can fix this by configuring sticky sessions on your NLB hardware/software. If your NLB solution doesn’t offer this take your singleton off of NLB or switch to using webservices.