By default, the unique identifier for a session is stored in a non-expiring session cookie in the browser. You can specify that session identifiers not be stored in a cookie by setting the cookieless attribute to true in the sessionState configuration element.
We can also configure our application to store it in the url by specifying a "cookieless" session
The ASP Session cookie has this format:-
ASPSESSIONIDACSSDCCC=APHELKLDMNKNIOJONJACDHFN