Sessions work absolutely fine in every version of PHP, even in Windows.
If they don't on yours, it's because something is set up wrong.
You MUST enable all errors and warnings and ensure that error logging is happening - otherwise, errors could happen (e.g. sessions directory doesn't exist) which are invisible.
It WILL WORK. You clearly have something wrong.
It might be a client-side issue- ensure that you're using a proper domain name on the browser, cookies are definitely enabled etc (bear in mind that some browsers are picky about enabling cookies on some sites, particularly if you have a "funny" host name). Test cookies independently.
Ensure that any application-level firewalls or antivirus apps are not causing a problem, if in doubt, uninstall them all. I've had both cause problems before.
Mark