As far as I know, the IIS server itself does not provide any session management. Things like ASP and Coldfusion are applications in their own right and have session management built into them. They use IIS to provide the HTTP front end.
You could try using CGI::Session with the other CGI modules to provide the session management. If you change to an Apache server then you could use Apache::Session
Inman
Comment on Re: Session ID issued by IIS Web Server