In the field of Internet, if the visitor visit a website, more or less the server record some data for this visit, this data is called session data, and the session of visit lasts until the user close his web browser. In some case the session ends when the visitor leaves the pages of that website and switches to another site, depends on how the mechanism is designed in the server-side.
Some server-side scripting language support session, while some don't. If the language doesn't support session, as a programmer, you have to develop a mechanism to record the visitor's information so that he/she feels smooth while visiting your website.
Am I right, Jabber? :-)