Example code:
<-- snip -->
ob_start("ob_gzhandler");

session_start();
session_register("sessUser");
<-- snip -->
If you refuse the session cookie to be placed, the PHPSESSID is not appended to the a href links even though transient SID is enabled in PHP.INI.

If you remove the ob_start("ob_gzhandler"), it works fine again.

Copy of php.ini file:

<-- snip -->

[PHP]
; $Id: php.ini-dist,v 1.73.2.2 2001/04/22 11:58:49 phanto Exp $

;;;;;;;;;;;;;;;;;;;
; About this file ;
;;;;;;;;;;;;;;;;;;;
; This file controls many aspects of PHP's behavior.  In order for PHP to
; read it, it must be named 'php.ini'.  PHP looks for it in the current
; working directory, in the path designated by the environment variable
; PHPRC, and in the path that was defined in compile time (in that order).
; Under Windows, the compile-time path is the Windows directory.  The
; path in which the php.ini file is looked for can be overriden using
; the -c argument in command line mode.
;
; The syntax of the file is extremely simple.  Whitespace and Lines
; beginning with a semicolon are silently ignored (as you probably guessed).
; Section headers (e.g. [Foo]) are also silently ignored, even though
; they might mean something in the future.
;
; Directives are specified using the following syntax:
; directive = value
; Directive names are *case sensitive* - foo=bar is different from FOO=bar.
;
; The value can be a string, a number, a PHP constant (e.g. E_ALL or M_PI), one
; of the INI constants (On, Off, True, False, Yes, No and None) or an expression
; (e.g. E_ALL & ~E_NOTICE), or a quoted string ("foo").
;
; Expressions in the INI file are limited to bitwise operators and parentheses:
; |        bitwise OR
; &        bitwise AND
; ~        bitwise NOT
; !        boolean NOT
;
; Boolean flags can be turned on using the values 1, On, True or Yes.
; They can be turned off using the values 0, Off, False or No.
;
; An empty string can be denoted by simply not writing anything after the equal
; sign, or by using the None keyword:
;
;  foo =         ; sets foo to an empty string
;  foo = none    ; sets foo to an empty string
;  foo = "none"  ; sets foo to the string 'none'
;
; If you use constants in your value, and these constants belong to a
; dynamically loaded extension (either a PHP extension or a Zend extension),
; you may only use these constants *after* the line that loads the extension.
;
; All the values in the php.ini-dist file correspond to the builtin
; defaults (that is, if no php.ini is used, or if you delete these lines,
; the builtin defaults will be identical).


;;;;;;;;;;;;;;;;;;;;
; Language Options ;
;;;;;;;;;;;;;;;;;;;;

; Enable the PHP scripting language engine under Apache.
engine = On

; Allow the <? tag.  Otherwise, only <?php and <script> tags are recognized.
short_open_tag = On

; Allow ASP-style <% %> tags.
asp_tags = Off

; The number of significant digits displayed in floating point numbers.
precision    =  14

; Enforce year 2000 compliance (will cause problems with non-compliant browsers)
y2k_compliance = Off

; Output buffering allows you to send header lines (including cookies) even
; after you send body content, at the price of slowing PHP's output layer a
; bit.  You can enable output buffering during runtime by calling the output
; buffering functions.  You can also enable output buffering for all files by
; setting this directive to On.
output_buffering = Off

; You can redirect all of the output of your scripts to a function.  For
; example, if you set output_handler to "ob_gzhandler", output will be
; transparently compressed for browsers that support gzip or deflate encoding.
; Setting an output handler automatically turns on output buffering.
output_handler =

; Transparent output compression using the zlib library
; Valid values for this option are 'off', 'on', or a specific buffer size
; to be used for compression (default is 4KB)
zlib.output_compression = Off

; Implicit flush tells PHP to tell the output layer to flush itself
; automatically after every output block.  This is equivalent to calling the
; PHP function flush() after each and every call to print() or echo() and each
; and every HTML block.  Turning this option on has serious performance
; implications and is generally recommended for debugging purposes only.
implicit_flush = Off

; Whether to enable the ability to force arguments to be passed by reference
; at function call time.  This method is deprecated and is likely to be
; unsupported in future versions of PHP/Zend.  The encouraged method of
; specifying which arguments should be passed by reference is in the function
; declaration.  You're encouraged to try and turn this option Off and make
; sure your scripts work properly with it in order to ensure they will work
; with future versions of the language (you will receive a warning each time
; you use this feature, and the argument will be passed by value instead of by
; reference).
allow_call_time_pass_reference = On


;
; Safe Mode
;
safe_mode = Off

safe_mode_exec_dir =

; Setting certain environment variables may be a potential security breach.
; This directive contains a comma-delimited list of prefixes.  In Safe Mode,
; the user may only alter environment variables whose names begin with the
; prefixes supplied here.  By default, users will only be able to set
; environment variables that begin with PHP_ (e.g. PHP_FOO=BAR).
;
; Note:  If this directive is empty, PHP will let the user modify ANY
; environment variable!
safe_mode_allowed_env_vars = PHP_

; This directive contains a comma-delimited list of environment variables that
; the end user won't be able to change using putenv().  These variables will be
; protected even if safe_mode_allowed_env_vars is set to allow to change them.
safe_mode_protected_env_vars = LD_LIBRARY_PATH

; This directive allows you to disable certain functions for security reasons.
; It receives a comma-deliminated list of function names.  This directive is
; *NOT* affected by whether Safe Mode is turned On or Off.
disable_functions =

; Colors for Syntax Highlighting mode.  Anything that's acceptable in
; <font color="??????"> would work.
highlight.string  = #CC0000
highlight.comment = #FF9900
highlight.keyword = #006600
highlight.bg      = #FFFFFF
highlight.default = #0000CC
highlight.html    = #000000


;
; Misc
;
; Decides whether PHP may expose the fact that it is installed on the server
; (e.g. by adding its signature to the Web server header).  It is no security
; threat in any way, but it makes it possible to determine whether you use PHP
; on your server or not.
expose_php = On


;;;;;;;;;;;;;;;;;;;
; Resource Limits ;
;;;;;;;;;;;;;;;;;;;

max_execution_time = 30     ; Maximum execution time of each script, in seconds
memory_limit = 8M      ; Maximum amount of memory a script may consume (8MB)


;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;
; Error handling and logging ;
;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;

; error_reporting is a bit-field.  Or each number up to get desired error
; reporting level
; E_ALL             - All errors and warnings
; E_ERROR           - fatal run-time errors
; E_WARNING         - run-time warnings (non-fatal errors)
; E_PARSE           - compile-time parse errors
; E_NOTICE          - run-time notices (these are warnings which often result
;                     from a bug in your code, but it's possible that it was
;                     intentional (e.g., using an uninitialized variable and
;                     relying on the fact it's automatically initialized to an
;                     empty string)
; E_CORE_ERROR      - fatal errors that occur during PHP's initial startup
; E_CORE_WARNING    - warnings (non-fatal errors) that occur during PHP's
;                     initial startup
; E_COMPILE_ERROR   - fatal compile-time errors
; E_COMPILE_WARNING - compile-time warnings (non-fatal errors)
; E_USER_ERROR      - user-generated error message
; E_USER_WARNING    - user-generated warning message
; E_USER_NOTICE     - user-generated notice message
;
; Examples:
;
;   - Show all errors, except for notices
;
;error_reporting = E_ALL & ~E_NOTICE
;
;   - Show only errors
;
;error_reporting = E_COMPILE_ERROR|E_ERROR|E_CORE_ERROR
;
;   - Show all errors except for notices
;
error_reporting  =  E_ALL & ~E_NOTICE

; Print out errors (as a part of the output).  For production web sites,
; you're strongly encouraged to turn this feature off, and use error logging
; instead (see below).  Keeping display_errors enabled on a production web site
; may reveal security information to end users, such as file paths on your Web
; server, your database schema or other information.
display_errors = On

; Even when display_errors is on, errors that occur during PHP's startup
; sequence are not displayed.  It's strongly recommended to keep
; display_startup_errors off, except for when debugging.
display_startup_errors = Off

; Log errors into a log file (server-specific log, stderr, or error_log (below))
; As stated above, you're strongly advised to use error logging in place of
; error displaying on production web sites.
log_errors = Off

; Store the last error/warning message in $php_errormsg (boolean).
track_errors = Off

; String to output before an error message.
;error_prepend_string = "<font color=ff0000>"

; String to output after an error message.
;error_append_string = "</font>"

; Log errors to specified file.
;error_log = filename

; Log errors to syslog (Event Log on NT, not valid in Windows 95).
;error_log = syslog

; Warn if the + operator is used with strings.
warn_plus_overloading = Off


;;;;;;;;;;;;;;;;;
; Data Handling ;
;;;;;;;;;;;;;;;;;
;
; Note - track_vars is ALWAYS enabled as of PHP 4.0.3

; The separator used in PHP generated URLs to separate arguments.
; Default is "&". 
;arg_separator.output = "&amp;"

; List of separator(s) used by PHP to parse input URLs into variables.
; Default is "&". 
; NOTE: Every character in this directive is considered as separator!
;arg_separator.input = ";&"

; This directive describes the order in which PHP registers GET, POST, Cookie,
; Environment and Built-in variables (G, P, C, E & S respectively, often
; referred to as EGPCS or GPC).  Registration is done from left to right, newer
; values override older values.
variables_order = "EGPCS"

; Whether or not to register the EGPCS variables as global variables.  You may
; want to turn this off if you don't want to clutter your scripts' global scope
; with user data.  This makes most sense when coupled with track_vars - in which
; case you can access all of the GPC variables through the $HTTP_*_VARS[],
; variables.
;
; You should do your best to write your scripts so that they do not require
; register_globals to be on;  Using form variables as globals can easily lead
; to possible security problems, if the code is not very well thought of.
register_globals = On

; This directive tells PHP whether to declare the argv&argc variables (that
; would contain the GET information).  If you don't use these variables, you
; should turn it off for increased performance.
register_argc_argv = On

; Maximum size of POST data that PHP will accept.
post_max_size = 8M

; This directive is deprecated.  Use variables_order instead.
gpc_order = "GPC"

; Magic quotes
;

; Magic quotes for incoming GET/POST/Cookie data.
magic_quotes_gpc = On

; Magic quotes for runtime-generated data, e.g. data from SQL, from exec(), etc.
magic_quotes_runtime = Off    

; Use Sybase-style magic quotes (escape ' with '' instead of \').
magic_quotes_sybase = Off

; Automatically add files before or after any PHP document.
auto_prepend_file =
auto_append_file =

; As of 4.0b4, PHP always outputs a character encoding by default in
; the Content-type: header.  To disable sending of the charset, simply
; set it to be empty.
;
; PHP's built-in default is text/html
default_mimetype = "text/html"
default_charset = "iso-8859-1"


;;;;;;;;;;;;;;;;;;;;;;;;;
; Paths and Directories ;
;;;;;;;;;;;;;;;;;;;;;;;;;

; UNIX: "/path1:/path2"  Windows: "\path1;\path2"
include_path = "c:\php-latest\pear;."

; The root of the PHP pages, used only if nonempty.
doc_root =


; The directory under which PHP opens the script using /~usernamem used only
; if nonempty.
user_dir =

; Directory in which the loadable extensions (modules) reside.
extension_dir = "c:\php-latest\extensions"

; Whether or not to enable the dl() function.  The dl() function does NOT work
; properly in multithreaded servers, such as IIS or Zeus, and is automatically
; disabled on them.
enable_dl = On


;;;;;;;;;;;;;;;;
; File Uploads ;
;;;;;;;;;;;;;;;;

; Whether to allow HTTP file uploads.
file_uploads = On

; Temporary directory for HTTP uploaded files (will use system default if not
; specified).
;upload_tmp_dir =

; Maximum allowed size for uploaded files.
upload_max_filesize = 2M


;;;;;;;;;;;;;;;;;;
; Fopen wrappers ;
;;;;;;;;;;;;;;;;;;

; Whether to allow the treatment of URLs (like http:// or ftp://) as files.
allow_url_fopen = On


;;;;;;;;;;;;;;;;;;;;;;
; Dynamic Extensions ;
;;;;;;;;;;;;;;;;;;;;;;
;
; If you wish to have an extension loaded automaticly, use the following
; syntax:
;
;   extension=modulename.extension
;
; For example, on Windows:
;
;   extension=msql.dll
;
; ... or under UNIX:
;
;   extension=msql.so
;
; Note that it should be the name of the module only; no directory information 
; needs to go here.  Specify the location of the extension with the
; extension_dir directive above.


;Windows Extensions
;Note that MySQL and ODBC support is now built in, so no dll is needed for it.
;
;extension=php_bz2.dll
;extension=php_ctype.dll
;extension=php_cpdf.dll
;extension=php_curl.dll
;extension=php_cybercash.dll
;extension=php_db.dll
;extension=php_dba.dll
;extension=php_dbase.dll
extension=php_domxml.dll
;extension=php_dotnet.dll
;extension=php_exif.dll
;extension=php_fdf.dll
;extension=php_filepro.dll
extension=php_gd.dll
;extension=php_gettext.dll
;extension=php_hyperwave.dll
;extension=php_iconv.dll
;extension=php_ifx.dll
;extension=php_iisfunc.dll
;extension=php_imap.dll
;extension=php_ingres.dll
;extension=php_interbase.dll
;extension=php_java.dll
;extension=php_ldap.dll
;extension=php_mcrypt.dll
;extension=php_mhash.dll
;extension=php_ming.dll
;extension=php_mssql.dll
;extension=php_oci8.dll
;extension=php_openssl.dll
;extension=php_oracle.dll
;extension=php_pdf.dll
;extension=php_pgsql.dll
;extension=php_printer.dll
extension=php_sablot.dll
;extension=php_snmp.dll
;extension=php_sybase_ct.dll
;extension=php_yaz.dll
extension=php_zlib.dll
;extension=php_dbg.dll 

;;;;;;;;;;;;;;;;;;;
; Module Settings ;
;;;;;;;;;;;;;;;;;;;

[Syslog]
; Whether or not to define the various syslog variables (e.g. $LOG_PID,
; $LOG_CRON, etc.).  Turning it off is a good idea performance-wise.  In
; runtime, you can define these variables by calling define_syslog_variables().
define_syslog_variables  = Off

[mail function]
; For Win32 only.
SMTP = 192.168.0.100

; For Win32 only.
sendmail_from = alain@valain.com

; For Unix only.  You may supply arguments as well (default: 'sendmail -t -i').
;sendmail_path =

[Logging]
; These configuration directives are used by the example logging mechanism.
; See examples/README.logging for more explanation.
;logging.method = db
;logging.directory = /path/to/log/directory

[Java]
;java.class.path = .\php_java.jar
;java.home = c:\jdk
;java.library = c:\jdk\jre\bin\hotspot\jvm.dll 
;java.library.path = .\

[SQL]
sql.safe_mode = Off

[ODBC]
;odbc.default_db    =  Not yet implemented
;odbc.default_user  =  Not yet implemented
;odbc.default_pw    =  Not yet implemented

; Allow or prevent persistent links.
odbc.allow_persistent = On

; Check that a connection is still valid before reuse.
odbc.check_persistent = On

; Maximum number of persistent links.  -1 means no limit.
odbc.max_persistent = -1

; Maximum number of links (persistent + non-persistent).  -1 means no limit.
odbc.max_links = -1  

; Handling of LONG fields.  Returns number of bytes to variables.  0 means
; passthru.
odbc.defaultlrl = 4096  

; Handling of binary data.  0 means passthru, 1 return as is, 2 convert to char.
; See the documentation on odbc_binmode and odbc_longreadlen for an explanation
; of uodbc.defaultlrl and uodbc.defaultbinmode
odbc.defaultbinmode = 1  

[MySQL]
; Allow or prevent persistent links.
mysql.allow_persistent = On

; Maximum number of persistent links.  -1 means no limit.
mysql.max_persistent = -1

; Maximum number of links (persistent + non-persistent).  -1 means no limit.
mysql.max_links = -1

; Default port number for mysql_connect().  If unset, mysql_connect() will use
; the $MYSQL_TCP_PORT or the mysql-tcp entry in /etc/services or the
; compile-time value defined MYSQL_PORT (in that order).  Win32 will only look
' at MYSQL_PORT.
mysql.default_port =

; Default socket name for local MySQL connects.  If empty, uses the built-in
; MySQL defaults.
mysql.default_socket =

; Default host for mysql_connect() (doesn't apply in safe mode).
mysql.default_host =

; Default user for mysql_connect() (doesn't apply in safe mode).
mysql.default_user =

; Default password for mysql_connect() (doesn't apply in safe mode).
; Note that this is generally a *bad* idea to store passwords in this file.
; *Any* user with PHP access can run 'echo cfg_get_var("mysql.default_password")
; and reveal this password!  And of course, any users with read access to this
; file will be able to reveal the password as well.
mysql.default_password =

[mSQL]
; Allow or prevent persistent links.
msql.allow_persistent = On

; Maximum number of persistent links.  -1 means no limit.
msql.max_persistent = -1

; Maximum number of links (persistent+non persistent).  -1 means no limit.
msql.max_links = -1

[PostgresSQL]
; Allow or prevent persistent links.
pgsql.allow_persistent = On

; Maximum number of persistent links.  -1 means no limit.
pgsql.max_persistent = -1

; Maximum number of links (persistent+non persistent).  -1 means no limit.
pgsql.max_links = -1

[Sybase]
; Allow or prevent persistent links.
sybase.allow_persistent = On

; Maximum number of persistent links.  -1 means no limit.
sybase.max_persistent = -1

; Maximum number of links (persistent + non-persistent).  -1 means no limit.
sybase.max_links = -1

;sybase.interface_file = "/usr/sybase/interfaces"

; Minimum error severity to display.
sybase.min_error_severity = 10

; Minimum message severity to display.
sybase.min_message_severity = 10

; Compatability mode with old versions of PHP 3.0.
; If on, this will cause PHP to automatically assign types to results according
; to their Sybase type, instead of treating them all as strings.  This
; compatability mode will probably not stay around forever, so try applying
; whatever necessary changes to your code, and turn it off.
sybase.compatability_mode = Off

[Sybase-CT]
; Allow or prevent persistent links.
sybct.allow_persistent = On

; Maximum number of persistent links.  -1 means no limit.
sybct.max_persistent = -1

; Maximum number of links (persistent + non-persistent).  -1 means no limit.
sybct.max_links = -1

; Minimum server message severity to display.
sybct.min_server_severity = 10

; Minimum client message severity to display.
sybct.min_client_severity = 10

[bcmath]
; Number of decimal digits for all bcmath functions.
bcmath.scale = 0

[browscap]
;browscap = extra/browscap.ini

[Informix]
; Default host for ifx_connect() (doesn't apply in safe mode).
ifx.default_host =

; Default user for ifx_connect() (doesn't apply in safe mode).
ifx.default_user =

; Default password for ifx_connect() (doesn't apply in safe mode).
ifx.default_password =

; Allow or prevent persistent links.
ifx.allow_persistent = On

; Maximum number of persistent links.  -1 means no limit.
ifx.max_persistent = -1

; Maximum number of links (persistent + non-persistent).  -1 means no limit.
ifx.max_links = -1

; If on, select statements return the contents of a text blob instead of its id.
ifx.textasvarchar = 0

; If on, select statements return the contents of a byte blob instead of its id.
ifx.byteasvarchar = 0

; Trailing blanks are stripped from fixed-length char columns.  May help the
; life of Informix SE users.
ifx.charasvarchar = 0

; If on, the contents of text and byte blobs are dumped to a file instead of
; keeping them in memory.
ifx.blobinfile = 0

; NULL's are returned as empty strings, unless this is set to 1.  In that case,
; NULL's are returned as string 'NULL'.
ifx.nullformat = 0

[Session]
; Handler used to store/retrieve data.
session.save_handler = files

; Argument passed to save_handler.  In the case of files, this is the path
; where data files are stored.
session.save_path = c:\

; Whether to use cookies.
session.use_cookies = 1


; Name of the session (used as cookie name).
session.name = PHPSESSID

; Initialize session on request startup.
session.auto_start = 0

; Lifetime in seconds of cookie or, if 0, until browser is restarted.
session.cookie_lifetime = 0

; The path for which the cookie is valid.
session.cookie_path = /

; The domain for which the cookie is valid.
session.cookie_domain =

; Handler used to serialize data.  php is the standard serializer of PHP.
session.serialize_handler = php

; Percentual probability that the 'garbage collection' process is started
; on every session initialization.
session.gc_probability = 1

; After this number of seconds, stored data will be seen as 'garbage' and
; cleaned up by the garbage collection process.
session.gc_maxlifetime = 1440

; Check HTTP Referer to invalidate externally stored URLs containing ids.
session.referer_check =

; How many bytes to read from the file.
session.entropy_length = 0

; Specified here to create the session id.
session.entropy_file =

;session.entropy_length = 16

;session.entropy_file = /dev/urandom

; Set to {nocache,private,public} to determine HTTP caching aspects.
session.cache_limiter = nocache

; Document expires after n minutes.
session.cache_expire = 180

; use transient sid support if enabled by compiling with --enable-trans-sid.
session.use_trans_sid = 1

url_rewriter.tags = "a=href,area=href,frame=src,input=src,form=fakeentry"

[MSSQL]
; Allow or prevent persistent links.
mssql.allow_persistent = On

; Maximum number of persistent links.  -1 means no limit.
mssql.max_persistent = -1

; Maximum number of links (persistent+non persistent).  -1 means no limit.
mssql.max_links = -1

; Minimum error severity to display.
mssql.min_error_severity = 10

; Minimum message severity to display.
mssql.min_message_severity = 10

; Compatability mode with old versions of PHP 3.0.
mssql.compatability_mode = Off

; Valid range 0 - 2147483647.  Default = 4096.
;mssql.textlimit = 4096

; Valid range 0 - 2147483647.  Default = 4096.
;mssql.textsize = 4096

; Limits the number of records in each bach.  0 = all records in one batch.
;mssql.batchsize = 0

[Assertion]
; Assert(expr); active by default.
;assert.active = On

; Issue a PHP warning for each failed assertion.
;assert.warning = On

; Don't bail out by default.
;assert.bail = Off

; User-function to be called if an assertion fails.
;assert.callback = 0

; Eval the expression with current error_reporting().  Set to true if you want
; error_reporting(0) around the eval().
;assert.quiet_eval = 0

[Ingres II]
; Allow or prevent persistent links.
ingres.allow_persistent = On

; Maximum number of persistent links.  -1 means no limit.
ingres.max_persistent = -1

; Maximum number of links, including persistents.  -1 means no limit.
ingres.max_links = -1

; Default database (format: [node_id::]dbname[/srv_class]).
ingres.default_database =

; Default user.
ingres.default_user =

; Default password.
ingres.default_password =

[Verisign Payflow Pro]
; Default Signio server.
pfpro.defaulthost = "test.signio.com"

; Default port to connect to.
pfpro.defaultport = 443

; Default timeout in seconds.
pfpro.defaulttimeout = 30

; Default proxy IP address (if required).
;pfpro.proxyaddress =

; Default proxy port.
;pfpro.proxyport =

; Default proxy logon.
;pfpro.proxylogon =

; Default proxy password.
;pfpro.proxypassword =

[Sockets]
; Use the system read() function instead of the php_read() wrapper.
sockets.use_system_read = On

[com]
; path to a file containing GUIDs, IIDs or filenames of files with TypeLibs
;com.typelib_file = 

; allow Distributed-COM calls
;com.allow_dcom = true


;[debugger]
;debugger.enabled = true
;debugger.host = clienthost
;debugger.port = 7869

zend_optimizer.optimization_level=15
zend_extension_ts="C:\php-latest\zend\ZendOptimizer.dll"

<-- snip -->

Thanks!