I've tried to use these files to get access to the session.
page1.php:
<?php
session_start();
$_SESSION["test"] = "Hello World";
echo 'The content is '. $HTTP_SESSION_VARS['test'];
?>
<br><a href="page2.php">Next Page</a>

Page2.php:
<?php
session_start();
echo 'The content is '. $HTTP_SESSION_VARS['test'];
?>
<br><a href="page1.php">Previous Page</a>

If things would happening correctly, i would see the Hello World text also page 2. Instead the PHP makes second session-file, so it can't find correct one for my session.save_path directory.

Check if cookie is being sent and if it then is sent by the browser. You should also try to see if the code would work with URL sessions.

Now my page1 looks like this:
<?php
session_start();
$_SESSION["test"] = "Hello World";
echo 'The content is '. $HTTP_SESSION_VARS['test'];
?>
<br><a href="page2.php?<?php echo SID?>">Next Page</a>

Still doesn't work for me. I've tried a different browser (Mozilla) but nothing happened. =(

Please try using this CVS snapshot:

  http://snaps.php.net/php4-STABLE-latest.tar.gz
 
For Windows:
 
  http://snaps.php.net/win32/php4-win32-STABLE-latest.zip

Works just fine here.

Thanks sniper! =) My php.ini was the fault.
Dunno what happened there but when i used that recommended ini, things starting to click.. Now the coding calls, thnx..

I was bit hasty for previous comment. Now my code works only when i use SID in the link. But for security reasons i want to pass the session id via cookie. I have this latest stable CVS snapshot. The only thing what i've changed is this line in php.ini:
session.save_path = "F:/Program Files/PHP/sessions/"

Here are the code what i am using now:
Page1.php
<?php
    session_start();
    $_SESSION['sess_var'] = "Hello world!";
    session_write_close();

    echo "The content is ". $_SESSION['sess_var']. "<br />";
?>
<a href="page2.php?<?php echo SID?>">Next page</a>

Page2.php
<?php
    session_start();

    echo "The content is ".$_SESSION['sess_var']."<br />";

    unset ($_SESSION['sess_var']);
    session_write_close();
?>
<a href="page1.php?<?php echo SID?>">First Page</a>

I guess these still apply (check from phpinfo()!):

  session.use_cookies On 
  session.use_only_cookies On 
  session.use_trans_sid Off 

If so, we're back to the question: Is the cookie set at all? (easy way to check: set your browser to ask confirmation when cookie is about to be set)

The problem was ZoneAlarm Pro and maybe PHP's cookie settings, cause ZoneAlarm regonizes this (PHPSESSID) cookie for type "3rd party cookie". Why the cookie isn't type of session cookie like for example google-cookie? But thanks to Sniper (again :) for showing the way to the "bug"..

not a php bug -> bogus