I'm not sure you really understand the concept of sessions, or maybe the concept of PHP. Sessions has nothing to do with the link that you send the user to, and the onClick event is purely for JavaScript. JS is a client-side language, so I guess you could use it to send them places. But PHP is completely server-side. All the code resides on the server.
What you would normally do with sessions, would be... let's say you have that page, index.php. You might have a page to index.php?step=2, and on that page you would set $SESSION['step'] = $GET['step']; Then you would know that they were on page two.
Personally - I've never used sessions for this type of navigation. I've always felt it easier just to include steps or actions in the query string, and let people navigate around like that. I can understand times where you would need to do session variables for navigation, but I think your case is simple enough to just use GET. Research session and get variables and find out which one would be better for what you're trying to do.