In
J2EE, each client gets a unique session. Usually that means one session for each client machine, but for those of us who do things like run Firefox and IE at the same time, Firefox will have a session and IE will also have a (completely different) session.
Sessions are tied to logins, but you don't have to be logged in to use sessions. Logging out is a different story, since the accepted way to log out is by destroying the current session.
The secret of how to be miserable is to constantly expect things are going to happen the way that they are "supposed" to happen.
You can have faith, which carries the understanding that you may be disappointed. Then there's being a willfully-blind idiot, which virtually guarantees it.