Take note that this doesn't appear to work out of the box. Make sure to not just include the new module's class name but instead explicitly define its namespace and (for the heck of completeness) assembly. If you fail to do that, there's a good chance you'll end up with IIS complaining about not being able to load that new HTTP module you just coded.
An example follows.
Instead of:
<add name="CustomHttpModule" type="MyCustomHttpModule"/>
Use:
<add name="CustomHttpModule" type="MyCustomRootNamespace.MyCustomHttpModule, MyCustomAssembly"/>
Fail to do that and your project may fail to load.
Specific errors you may receive depend on how explicitly you've defined the module. If you leave out the namespace, you'll see:
Could not load type 'MyCustomHttpModule'.
Leave out the namespace and include the assembly and you'll instead see:
Could not load type 'MyCustomHttpModule' from assembly 'MyCustomAssembly'.
If you instead see another error message, you're suffering from a different problem than the one discussed here.