Cookie keeps track of you and session is when you went to site. Cookies are used for tracking refferals or how often you go to site.
Sessions are bits of information that are kept on the server, and are destroyed once the visitor closes the browser. They are useful for storing temporary visit information, like username, ID, time, etc. Cookies are kept on the visitor's hard-drive (if enabled in the browser). Thus the information kept in cookies can be viewed by a third-party. http://www.php.net