I think only me here understand you question...
Ok, to save session, the server need the browser to save the informations of the current user in cookies.
Every user connected to your website has a cookie in his PC that save his session, and every time the user load a new page, the browser send the informations of that user, and then the server uses these informations to show the page related to that exact user.
For example this forum, phpbuilder.
When I'm now connected, I have a cookie here whith my id, it can be "Ilyes" or a number. When I load the page, my browser send "Ilyes" to phpbuilder, so php builder display my name and my other information on top of the page 🙂
If I disable cookies in my browser, I can't no more login to phpbuilder.
I hope that answer your question 🙂