Are you using cookies, files, database for your sessions?
I'm using the following config for my sessions:
ini_set('session.name','z');
ini_set('session.use_cookies',0);
ini_set('session.gc_maxlifetime',3600);
ini_set('session.gc_probability',100);
ini_set('session.use_trans_sid',1);
and it's working like a charm
I have cookies off, and trans_sid on (so all my url's get the session_id automatically).
The only thing to remember is to add a hidden input to your forms so when a form gets submitted, your session isn't lost.
Without more details its hard to help you though......but make sure your page is doing session_start at the top atleast.