Maintaining an open connection was introduced in HTTP 1.1.
As far as stressing your router, that's not going to happen. If your router can't handle 3 requests a second, you need a better router.
You would use the WebClient class to do this. You can find an example
here[
^]. In order to do multiple requests, you have to setup the headers you want (on each request), then just use the appropriate Downloadxxxx method to get the data you want.