First:
Look in your phpinfo() file and see if sessions are enabled (search for "Session Support").
Second:
Create a page (page1.php) and put in:
session_start();
$_SESSION["myVar"] = "Testing";
Create another page (page2.php) and put in:
echo $_SESSION["myVar"];
If page2.php echos "Testing" then it´s alriht :-) If not... Then I can´t think of anything right now.
I assume you have PHP 4.1.2.
Good luck
/Andrin