sessions do not require cookies. but cookies are the default and prefered way to pass the session id around.
php can be set to automatically pass the session id for you through the url, in the event the user doesnt accept cookies. there are some security problems with doing that though, so you should be aware of them.
to turn the feature on, do this before calling session_start()
ini_set('session.use_trans_sid', 1);
session_start();
do that, turn off cookies in your browser, and then goto your website so you can see the effects.
i suggest you do some serious reading about the secuirty problems of this before using it on a production site.
you should read this too....
www.php.net/session