I thought sessions used a cookie as a reference for the data?
Cookie data is usually only available to the domain / subdomains that set it; there's kind of a way around it, however.
Cookie data hits your browser piggy back-ing on headers. Say you have a page at site 'gink.com' and you want to set a cookie that will be read when they get to grunk.com.
Set up a script at grunk.com that acts like a gif; it's called say, pic.gif. The script sends back the image/gif header, with the cookie in tail, and the image data. VOILA! a cookie is set by gink.com that can be read by grunk.com (but only by grunk.com or it's affiliates ..)