Hey Ziwacky,
First, make sure you've read the documentation on the application framework as it will give you important background info on sessions. I can only add to what you learn there.
Basically, CF uses the variables cfid & cftoken to keep track of session and client information. When you create an application framework with the <cfapplication> tag, CF will generate a cfid/cftoken pair and try to store these as cookies on the visitor's browser (unless you specify not to). This way, every page request causes two cookies containing the cfid/cftoken information to be passed to your scripts and thus CF. If the visitor doesn't have cookies enabled, they will not be sent and CF will issue new ones. In most cases this is un-desireable as it will cause all session information to be lost between page clicks. To get around this, you can pass the cfid & cftoken via url variables in case the visitor doesn't have cookies enabled.
<a href="index.cfm?cfid=#cfid#&cftoken=#cftoken#">Next Page</a>
This allows you to keep a visitors session alive even if they don't have cookies enabled. In Steel's example above, you would cause a visitor to lose their session if they closed their browser since they wouldn't have their cfid/token stored in a cookie. The frist time they came back to the site, these would be missing and CF would assign new ones and thus a new session.
Hope this helps,
GJ