From Forum Nokia Wiki

There is a default filter for redirect, so you must remove it to resolve 302 redirection. Otherwise you cannot receive 302 redirect header,location is null.

RHTTPFilterCollection filtColl = iSession.FilterCollection();
RStringF filterName = iSession.StringPool().StringF(HTTP::ERedirect,RHTTPSession::GetTable());
filtColl.RemoveFilter( filterName );
 
 
The Location header value in EGotResponseHeader event and you can do as below
 
RStringF location = iSession.StringPool().StringF(HTTP::ELocation,RHTTPSession::GetTable());
RHTTPHeaders responseHeaders( aTransaction.Response().GetHeaderCollection() );
THTTPHdrVal locationValue;					
if( responseHeaders.GetField(location, 0, locationValue) == KErrNone )
{
  TBuf8<255> urides( locationValue.StrF().DesC() );
  TUriParser8 uri;
  uri.Parse( urides  );
  aTransaction.Cancel();						
  iTransaction.Request().SetURIL( uri );
  iTransaction.SubmitL();
}