Taking Phaedrus advice, I used Reflector to view the code in System.Web. It looks like this property calls the built-in methods in webengine.dll.
This method seems to be called in IIS6: EcbIsClientConnected (http://forums.iis.net/t/1187030.aspx)
This method seems to be called in IIS7: MgdIsClientConnected
Not particularly helpful .; -)