The problem is that you are using register_globals off. (Mind you, it's a good thing that you do have them off, but you're coding as if they are on.)
Instead of using
$my_favourite_colour="blue";
session_register("my_favourite_colour");
, just use: [FONT=courier new]$_SESSION['my_favourite_colour'] = 'blue';[/FONT]
And on the next page, use
session_start();
echo 'My favourite colour is ... ', $_SESSION['my_favourite_colour'];
?>
Hope that helps.