I copied this from sessions reference manual at php.net.
session.use_trans_sid whether transparent sid support is enabled or not. Defaults to 0 (disabled).
Note: For PHP 4.1.2 or less, it is enabled by compiling with --enable-trans-sid. From PHP 4.2.0, trans-sid feature is always compiled.
URL based session management has additional security risks compared to cookie based session management. Users may send an URL that contains an active session ID to their friends by email or users may save an URL that contains a session ID to their bookmarks and access your site with the same session ID always, for example.
url_rewriter.tags specifies which html tags are rewritten to include session id if transparent sid support is enabled. Defaults to a=href,area=href,frame=src,input=src,form=fakeentry
Personally i have not tried sessions with location headers. You can test it yourself. Delete all the cookies. Disable cookies completely in your browser and test the script.
Personally i have tried sessions with regular links. I have enabled transparent id and include SID in the links also. what i have noticed si that SID is empty if cookies work and if trans id is enabled.