Uhm, cookies are one of at least two methods of implementing a session.
With a cookie, the web browser automatically sends back a key-value pair for certain web pages.
With a parameter, the key-value pair is provided on a GET request as part of the query string, or in form data on a POST request.
So if you use the latter method, all the links and forms on your web page have to be generated dynamically to include the key-value pair holding the session identifier somehow.
Some CGI applications will fallback to the latter method if the browser doesn't support or blocks cookies. Others won't work without cookies, such as the DreamHost Web Panel.