Keep-alive header clarification

I was asked to build a site , and one of the co-developer told me That I would need to include the keep-alive header.

Well I read alot about it and still I have questions.

msdn ->

The open connection improves performance when a client makes multiple requests for Web page content, because the server can return the content for each request more quickly. Otherwise, the server has to open a new connection for every request

Looking at

• When The IIS (F) sends keep alive header (or user sends keep-alive) , does it mean that (E,C,B) save a connection which is only for my session ?
• Where does this info is kept ( "this connection belongs to "Royi") ?
• Does it mean that no one else can use that connection
• If so - does it mean that keep alive-header - reduce the number of overlapped connection users ?
• if so , for how long does the connection is saved to me ? (in other words , if I set keep alive- "keep" till when?)

p.s. for those who interested :

clicking this sample page will return keep alive header