The following will display records 41-80. The first number is the starting point; the second how many records to return (if possible).

SELECT <fields> FROM <table> WHERE ... LIMIT 41, 40
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As for saving where you were in the current session, don't bother with fancy session doohickies. Just take the ID of the latest record so far in the database (MAX(ID)?) before you do the first query, and add that to the page 2, 3, etc. page urls. Then you'd do something like this:

SELECT <fields> FROM <table> WHERE id <= 34534 && ... LIMIT 41, 40
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