I suppose this is due to the fact that sessions use cookies and cookies are strict with the path and domain (for security reasons): website scripts should not be able to read out another site's cookies (even when in a different path on the same domain).
however you can configure this in php.ini and via ini_set:
http://www.php.net/manual/en/ref.session.php
esp.:
session.cookie_path
session.cookie_domain
I have not tried that yet (with normal cookies only), but it may be a useful hint ...