Cookies and Sessions are treated differently by browsers. Usually, even when a user is not accepting cookies, they are accepting session cookies. You can see a clear demonstration of this if you use Internet Explorer and then go to Tools->Internet Options. Click on the Privacy tab and click the Advanced button. Here deny all cookies, but check the box that reads Always Allow Session Cookies. Then you can go to any script that you have made that will try to set cookies and sessions and test the results.