The facility that permits SQL Server to be queried via HTTP resides in SQLXML's ISAPI extension DLL, SQLISn.DLL, commonly referred to as SQLISAPI. Although the Configure IIS Support tool provides a default, you can configure the exact extension DLL uses when you set up a virtual directory for use by HTTP queries.
If you attach to IIS (the executable name is inetinfo.exe) with WinDbg prior to running any HTTP queries, you'll see ModLoad messages for SQLISn.DLL as well as one or two other DLLs. An ISAPI extension DLL is not loaded until the first time it's called.
Architecturally, here's what happens when you execute a basic URL query.
You supply the query as a URL in a Web browser.
It travels from your browser to the Web server ...