This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates on-line! See this thread for details.
HTTP is a stateless protocol but to make the grabbing of lots of small images in a webpage more efficient, the server may keep the connection alive for a small (sub second) amount of time. The browsers and servers discuss this process via the 'Connection' and 'Keep-Alive' headers.
As an app developer, this is not something you need to concern yourself with. Just think of HTTP as a stateless protocol.