Hi,
Session:Session is nothing But it maintaine the User Information on Sevr Side,
For Examples When ever Client make request to the Application that time server will be Allocated block Of memory this Memory is called Session memory.
Session is used for Single Client.in Web Server ISAPI_Aspne.EXE.
Cookies:Cookie is nothin But Maintain Information on the Client machine .iT can be Two Types

1.InMemory(or)temparory
2.Parsistance :
Thanks,
Narasima