Can you have multiple HttpApplication classes running around in an app? Anyhow, better bet would be to actually patch into the event, which is fired by the System.Web.SessionStateModule. Getting at the module is pretty easy--just grab the Module from the Modules collection of the application and attach events as appropriate:
Those xyz_OnWhatever things are holdovers for old ASP devs who were transitioning to the new model.
SessionStateModule ssm = Modules["Session"] as SessionStateModule
ssm.Start += MyStartEventHandler;
ssm.End += MyEndEventHandler;