Depends on your browser. Under windows & most unixes (except mac osx), closing all browser windows will stop the browser process, and should delete all session cookies.

Under Mac OS-X this doesn't work, and you should use the "Quit" menu item. That method will probably work for all browsers everywhere.

Note that this only works for real session cookies, i.e. cookies that have no expiry date. Cookies with an expiry date are held untill they expire or invalidated by the server.

update: for the real details, see RFC 2109