to solve your second problem that is of appending PHPSESSId after url automatically
you have to compile your php with -enable-trans-id option(see the session handling topic in manual for exact)enabled.
in IE there is a provision for two types of cookies
normal cookies which sites write to your machine and
per session cookies ( for session handling)if you are using IE 5 see the security tab in internet options dialog
session will only work if the per session option is enabled.
hope it gives you some idea.