Error messages should be passed on to users so that they are always aware of the problems they have encountered and will perform the requested actions. Although you cannot use Reponse.Write to display an error that occurred at the session start, the user can still be notified of the error.
You can do so by redirecting to another page and passing the error in the query string. Suggested usage is shown below:
Sub Session_OnStartResponse.Redirect "DisplayError.asp?txtError=" & Server.URLEncode("Could not open the database")End Sub