You can probably use HttpContext.Request
property but not sure whether that will still be valid after session expire.
In such case, you need to explicitly write the page URL in cookies every time user request a new page. That way, even though session expires you can check the cookie object and see what was the last requested page.
General scenario, once session expires end user should be re-authenticating himself and thus you should redirect to login page directly and if you are using Forms Authentication
then you can just say FormsAuthentication.RedirectToLoginPage();