Session is more secure than cookie.
"Cookies are a quick (and some would say messy) method of storing, on the client's computer, small snippets of data that we want to persist between separate visits to a a website. They aren't very prowerful or reliable..." - Wrox Publishings.
"Sessions are a series of related interactions between a single client and the web server.....Rather than storing the actual data on the client machine, and...." -Wrox Publishings.
And there you have it. The difference is where the information is bieng stored. Its a lot safer and alot more secure, not to mention faster, to have the secure data saved on the server rather than on the client.
Hope that helps.
<Mike>
Ps. It pays to do some research. Try www.php.net for all your function definitions.