Hi Filipe,
If load-balancer uses predefined IP ranges (I think that this is called sticky IP) to maintain server affinity then all request from given client goes always to same server. So from client's perspective there is only one server in a cluster. No problem with sessions here. Works regardless of used protocol.
If load-balancer uses cookies, then for first request it chooses server for a client, forwards request to chosen server and adds to response his own cookie with server ip (or anything that could be used to find this server). On following requests load-balancer finds its own cookie, then it forwards requests to server based on info from the cookie. This works only with HTTP.
All this is far beyond requirements for
SCEA part 1. For exam you need to know that load-balancer needs to maintain client sessions.
Jacek