Two ways: either re-compile php with enable trans-sid, or you can propagate the sid through every url.
But cookies is indispensable, in my opinion. Depending on your scripts/clients, you should consider checking for cookies and printing a message telling your clients to turn it on.
There are only so much you can do for your clients if they insist on being completely anonymous 😉
There's two different types: persistent and non-persistent.
The latter expires either when the session-time in php.ini expires or when the browser-session ends (all windows closed).
The first uses a file on the clients hd to store data, and has no timelimit - but is often turned off, especially in ie/Opera.
knutm