Ok... working on a window, php4.0.2 - had the simplest code about sessions:
<?php session_start(); session_destroy() ?>
Didn't work: Warning session object destroy failed (or something like this)... updated to php4.0.4 no problems any more...
However: tried on a php4.0.2 on a Linux... worked like a dream... happy now.
Please let me know if anyone had the same problem.