Sessions are the server side version of cookies. While a cookie persists data (or state) at the client, sessions do it at the server. Sessions have the advantage that the data do not travel the network thus making it both safer and faster although this not entirely true as shown in the next paragraph

The session state is kept in a file or in a database at the server side. Each session is identified by an id or session id (SID). To make it possible to the client to identify himself to the server the SID must be created by the server and sent to the client and then sent back to the server whenever the client makes a request. There is still data going through the net, the SID.

The server can send the SID to the client in a link’s query string or in a hidden form field or as a Set-Cookie header. The SID can be sent back from the client to the server as a query string parameter or in the body of the HTTP message if the post method is used or in a Cookie HTTP header.

If a cookie is not used to store the SID then the session will only last until the browser is closed, or the user goes to another site breaking the POST or query string transmission, or in other words, the session will last only until the user leaves the site.