You log in to the Zen admin panel, click on Configuration, Sessions. Recreate Sessions is a setting there that has values of true or false. However, I don't understand this particular instruction, as I have this set to True on my osCommerce store (Zen is a spin-off of osCommerce) and have had no problems.
If set to true, when a customer logs in, a new session is created for them and information copied from the old one.
My recommendation for the settings in Sessions is that all of the "Check" entries should be false, and Prevent Spider Sessions should be true. (These are for osC - I don't know if Zen has changed these.)