If a user has four Windows, the same session id can be used IF using cookies...
If using ID in the URL, if it a fix value (which is normally the case), that should not be a problem...
Let's say the user registers and is redirected to whatever page... in that page, he could open three pages (hosted on your server of course) in new windows... the phpsessid would be passed to every URL...
Advantage of including the session ID in the URL :
-> For people who have cookies disables...
Disadvantages :
-> If you put a link to an external site, the site may have HTTP_REFERER defined with your server and the user's session id ! So in that case, you have to make a special page that will redirect the user (header('Location: ...'))...
-> For those who care, the URL in the browser location bar won't be quite pretty...