Session states are used to store the user's session variables.
There is a lot to tell about sessions, and Microsoft has written a decent article here:
http://msdn.microsoft.com/en-us/library/ms178581(v=vs.100).aspx[
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If you want to know more about configuring SQLServer for your sessions, read the how-to here:
http://support.microsoft.com/kb/317604[
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If after reading those articles you still have questions, feel free to ask them.