>>I think you can control how long IIS waits to shut down an unused process by extending it in the App pool performance settings. Default is 20 mins? But it is probably a good idea to have the process re-start occasionally (in case of memory leaks etc). IIRC there's a setting somewhere which will force it to recycle if memory usage exceeds a certain level. The default behaviour then is to start up a new instance to accept requests *before* the old instance shuts down.
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>There is something else. This goes in that mode even after a few minutes.

If it's recycling after a hit in less than the idle value that is set then I'd assume something else is causing the recycle. Can you capture the reason in the event log (http://support.microsoft.com/kb/332088) ? Note that the Idle timeout itself won't generate an event anyway.

> If there is no activity on the site, it will be longer on the next hit. I can get that behavior in two or three minutes. That is why I was wondering about the HTTP Keep Alive. Basically, I was wondering if that thing works at all.

I'm not sure how HTTPKeepAlive would make any difference on this issue - I thought that primarily just affected the connection used to service an individual page....