It doesn't work for me.

I have 3 files running under HipHop -
1) /tf/test.php - This file sets the session variable - $_SESSION['X-ErrorPage']='/tf2/test.php';
and then sends header("HTTP/1.1 401 Unauthorized");
2) /tf2/test2.php - This prints "It works"
3) /tf2/test.php - This prints "Error Page"

My config looks like this -
The output on running http://112.11.23.221:8080/tf2/test2.php should be - "Error Page". But this is not happening.

The nginx error logs shows the following -

2012/02/17 18:52:45 [error] 10103#0: *4 the rewritten URI has a zero length, client: 122.179.93.88, server: 112.11.23.221, request: "GET /tf2/test2.php HTTP/1.1", host: "112.11.23.221:8080"

server {
listen 8080;
server_name 112.11.23.221;

location / {
auth_request /tf/test.php;
proxy_pass http://127.0.0.1:4247;
error_page 401 = /40x.html;
}
location /tf/test.php{
proxy_pass http://127.0.0.1:4247;
}

location = /40x.html {
auth_request_set $err $upstream_http_x_errorpage;
rewrite /40x.html $err;
proxy_pass http://127.0.0.1:4247;
}
}