i think at it's absolute basic level:
a cookie is a file stored on the browsers computer. it can be used to store information about the person browsing your site.
a session is something that's more server side and it tracks someone as they move through your site. the session will be destroyed as soon as they close their browser window, unless you kill it before that.
So, you would use a cookie for something like remembering your login name for a bulletin board (like this one). But you would use sessions for designing an online shopping cart (since you'd need to know from one page to the next who the user was). In truth though, I think they're quite frequently used together.
What is it you want to do?