Hope I understood your question ...
On client side only one cookie is stored, the session cookie containing the session id (but only if session.use_cookies is enabled in php.ini, otherwise you'll append the session id as get parameter to the url which will be done automatically -with some exceptions- if session.use_trans_sid is enabled in php.ini).
The session data itself is stored on the server itself and only used on the server side. The client can't see the session data as long as you don't log in to the server and view the session file for a given session. But that's only possible if the access rights of the session files are set so that anyone can read the files.
Thomas