Hmm..
Depending on how you start/end your sessions: do you propagate the session through the url?
Like:
<a href="page2.php?PHPSESSID=<?PHP echo $PHPSESSID; ?>">Page 2</a>
If your browser doesn't support cookies, that's the only way to send the session-id between pages *
Most likely, a new session is started on page 2.
*If you didn't install the enable -- trans-sid
knutm