My understanding of how this works is that, if the person has cookies enabled, the browser will pass the session ID, but if they don't, then you need some handling to pass the session id via the url string.
My URLs look like this:
print(" <TD colSpan=2 width=240><img src='/images/RedSquare.gif' border=0 WIDTH=8 HEIGHT=8> <a href="$SCRIPT_NAME?".SID."&string=3\" class=Links>Transfer Service Request</a></TD>\n");
You don't have to check for cookies running because if they are, you won't see the extra stuff in the url. Basically, for those people not using cookies, I pass their seesid id as long as they stay within out customer service section. Once they go to another area of the site, they have to login. I just didn't want to have to edit every single URL in my site for the time being.