In the Page_Init (Init event). This is triggered before Load. The Init for the Content page will also fire before the Init of the Master page, so you can override some stuff from here. BEWARE ViewState is not loaded at this point.
I think what you really need to do is implement some helper functionality outside of your pages (content or master), that can be called from anywhere.
This can be in the form of static methods (so u dont have the hassle to instantiate) or as a Singleton. This way my client code does not care if the 'Settings' were in the session or elsewhere, as all the implementation is hidden behind public methods and properties.
Secondly, if this is to facilitate permissions/access control then i would suggest using Forms Authentication, setup roles and use Login Controls to control what content is visible to a particular type of user.
I can give examples if any of this is relevant.