Used to store the cache to a user session. This stored on a per user basis. To use this, session state storage must be enabled in the web.config file.
Example (Modification to Web.config file):
Current - <pages enableSessionState="false"
Setup - <pages enableSessionState="true"
If you want to store Session state to SQL, please go to http://msdn2.microsoft.com/en-us/library/h6bb9cz9.aspx