Yes, using sessions will always be slow whether you are using the HD or DB.
If you are willing to give it a shot, try JSP (or ASP on windows...). JSP has a very nice session handling feature using the active memory on the system and is quite fast. But on the other hand, unless you have a pretty powerful system, JSP loads quite slow (obviously since it's java... :-)
Not too sure about ASP, but I believe it also handles sessions nicely and there are several libraries you can use to use microsoft sql or access (which i hate) to store session info.
-sridhar