Sessions and Cookies arn't really the same thing, doubtful if you'll find anything comparing apples to oranges :-)
Basically, sessions are little server-side files which store data, and these are related to a client and propagated by the client based on either a query string ( php.php?SessionID=2391u82351235 ) or a cookie ( cookie is set with that same SessionID = 2306u12312 ).
Cookies are Client-Side files that store data and each time the clietn visits a page, are sent back to the server as part of their HTTP GET or HTTP POST request.