yep.
check to see if the user has cookie support before sending them to a php sessions page.
cookies store user specific data on a client machine. the data is not secure and its only realistic to store a couple of bits of data there.
sessions store user specific data on the server. the data is secure (user can't directly modify it besides what your scripts allow). however more information can be stored (such as serialized php objects).
in order for php to find the right session to use it needs the session id. this can be stored either in cookies or as part of the url. those are about the only two ways to connect a specific user with a specific session thats universally supported.
since the session id "space" can be immense, the chance is low of a user stumbling onto another users session by modifing their session id (editing the cookies or the session id in the url).