This is really a Ling 2 SQL question rather than an ASP.NET MVC question (I assume that's what you're using, or maybe it's Entity Framework).
A few people advocate the DataContext per web request pattern when using L2SQL in a web application. That is you create a single DataContext and keep it for the duration of the entire currently executing Web request. To do this you need to store it in the HttpContext.Items collection like so
HttpContext.Current.Items.Add("myKey", new MyDataContext());
...and retrieve it like so
MyDataContext context = HttpContext.Current.Items["myKey"] as MyDataContext;
You probably ought to create some helper class for easier access to your DataContext and hide this code away.