You can check out one of those newer MIDP books. Almost all of them talks about how to make J2ME client interact with dynamic server applications. Or, you can read me article published on JavaWorld Build database-powered mobile applications on the Java platform http://www.javaworld.com/javaworld/jw-01-2002/jw-0118-midp.html
As another resource, you can visit my J2ME developer site and download source code for a Servlet that uses Cookies to manage sessions with a MIDlet. Servlet and Cookie Example John