I found this question while looking to do exactly the same thing. Couldn’t find an answer anywhere, but after a bit more digging found that the .Net Framework has built in support for this.
You can register a factory object with WebRequest.RegisterPrefix which WebRequest.Create will call when using that prefix (or url). The factory object must implement IWebRequestCreate which has a single method Create which returns a WebRequest. Here you can return your mock WebRequest.
I’ve put some sample code up at
http://blog.salamandersoft.co.uk/index.php/2009/10/how-to-mock-httpwebrequest-when-unit-testing/