Cookies vs HttpSession values?

I have made an application which use HttpSession values to store the user data of the users being logged into the system.

If I change my browser settings to block for all cookies, it seems that the web application loose all the session values and throws a null pointer exception.

Do session values correspond to cookies?

I have a webbank where it is possible for me to log into the system, in spite of I have blocked for all cookies. How do this application store the user data?

Usually cookies are used to exchange session ID between client and servers. If your client doesn't accept cookies, then your application needs to use URL rewriting to work with session.