To use session, php sends a session cookie to the browser and stores data into a file on the web server. The location of that file should not be visible to anybody else but your web server.
Cookies information can be modified by any user to reflect someone else's session id but that possibility is not likely to happen. As far as i know, the cookies file is loaded only once by the browser when you open it. If you want cookies to be reloaded, you may need to close your browser and reopen it. Closing your browser will kill any http 1.1 persistent connection so the session will be closed as well and the data discarded ( I'm not sure about that ). If not discarded il will expire after a certain time as configured in your php.ini ( session.cookie_lifetime and al ).
I also think that php tries to emulate session cookies by adding a get/post variable that contains the session id to your links. That variable could be modified to reflect another known active session id ( if any way to find one ).