Variables from a form arrive on the server they are posted to. They come either in the URL (GET) or in the header (POST). In both cases, these then become variables accessible to the php script as it runs on the server. The script executes, (optionally retrieving stored session variables), and generates HTML. When the script has finished, if a 'session' has been started and the variables have been 'registered', the HTML has a cookie added to the header with a reference to the names and values of the variables as they were at the completion of the script. Only then is the output sent back to the client.
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