No doubt you found the term ,,cookie'' appear frequently when ,,sessions'' are being discussed.
A cookie is a bit of information which is sent to your browser and stored there. The browser will send this information back to the server every time you send a request. (to the server that set the cookie)
This behaviour can be used to identify a session if sessions take more than one (server-(client)-server) transactions.
Hmmm, analogy?
Imagine the webapplication as a fairground (carnival?). You pay for a ticket when you enter (start a session). The ticket now is your cookie and every ride (transaction) you want to go on you wave your ticket (cookie) and get on it. Without a cookie you would have to buy a ticket for every single ride.