To be most effective at understanding the implications and possible uses of a managed filter browse the documentation available on MSDN. Some content you should be familiar with can be found in:
- David Wang's blogs (although covering most native aspects of IIS, it does give you a thorough understanding of IIS behavior to the managed filter author)
Believe me these are some of the best places where to find the raw information about IIS and ISAPI Filters. In there you should be able to grasp the most native concepts and start applying them with a managed perspective to Filter.NET.
Feel free to post questions to myself as well :)