Yes, you'll need to do a little tweaking to your php.ini file.
PHP is looking for session data in the /tmp directory, but you're running on a Windows system, and "/tmp" doesn't really mean much there. You probably want it to use something more like "C:\Windows\Temp", or create some other directory for the purpose.
Then, change the line in php.ini that reads
session.save_path = /tmp
to refer to the directory you want PHP to use.