Automatically AuthenticateRequest like in FormsAuthentication

Hi,
When we use FormsAuthentication we only emit cookie in the Login page by calling FormsAuthentication.SetAuthCookie.
That's it. We do not need to handle HttpApplication.AuthenticateRequest or similar. Valid IIdentity and IPrincipal are assigned to the HttpContext (and thread).
Where (and when) is it done in the lifecycle? Some handler or what?

How can I archive the same (automatically authenticate request) with custom implemented IIdentity and IPrincipal?
 
Thanks,
Dmitriy.

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