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When users are on your website , they will want to go to different web pages within the site.
You can redirect them using a Response.redirect("url of new page") method
Response.redirect("url of new page") is called to instruct the web browser to request a different web page by posting back to the original page . Your server side code will then process the postback and then process the Redirect, essentially taking the user to the new page they requested
Server.Transfer("url of new page") terminates execution of the current page and starts executing a new page whose URL is specified as the method parameter.
Differences
The PreviousPage property is not accesible when navigating using the Response.Redirect() whereas its available when using Server.Transfer();
Starting a page using Server.Transfer() does not verify that the current user is authorised to see the page that will be executed whereas the redirect method forces reauthorization to take place.
Server.Tranfer() will generally get to the new page faster than Response.Redirect()

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response.redirect:
2 round trip,change url,go to any website
server.transfer:
1 round trip,url not change,go to only one domain(IIS) website
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take a look here
http://haacked.com/archive/2004/10/06/responseredirectverseservertransfer.aspx