For full details, see the section on session handling functions in the manual. But briefly:
If you're using PHP4.1 or later it's P.o.P to use sessions. If you use something like $_SESSION['var'] its contents are sessioned. That straightforward. Well, pretty much. I'm making certain assumptions about your PHP's configuration as well as version - PHP4.1+, register_globals turned off - but that's the ideal situation to have anyway.