Session informatione is, basically, every variable you create and store in the Flex application.
Sessions cookies are a work around for the stateless nature of HTML Pages. Every HTML page exists in isolation andk nows nothing about any other HTML page or the history of the user viewing that page. The server sets a cookie to match the request up a request with a server side session.
In Flex, there is only one page request, so no need for cookies to keep track of sessions. The complete app exists 'once' for each user; as opposed to the server side code which is shared across all users.
That said, if you need sessions for your server side code; remote requests from Flex will include the cookie information set by the server; which will allow said requests to match your remote call to a server side session.