Not exactly Murray. They are used similarly, but cookies are written and stored on the client while sessions variables are stored in server memory. Now, a session does store a 'cookie' on the client, but that is only used to identify the session - it does not store the actual data.
For example, you want your site to store the user's login name so they don't have to remember it each time they visit. You would store the login name in a cookie. On the other hand, if you want the login name to be available during a session once they log in, you store that in a session variable. The server would then create a session cookie on the client, which would store the session id, but not the login name.
