I find this to be amazing. I never realized that IIS worked like how Thomas Deml describes but I'm going to be making sure my web applications are optimized tonight probably for this.
IIS will read the default document list and check file for file if the document exists in the physical directory of your site or vdir. IIS executes the document as soon as it finds the first match. You can imagine that this is pretty expensive. In the above case, supposing default.htm is the only default document that exists in your sites root directory, IIS would check five times until it finds default.htm. And this happens for every request!