This week's giveaway is in the EJB and other Java EE Technologies forum. We're giving away four copies of EJB 3 in Action and have Debu Panda, Reza Rahman, Ryan Cuprak, and Michael Remijan on-line! See this thread for details.
Like Cameron said, you have to use UrlRewriting. This means that you have to specially encode all your links in your JSPs so that it can automatically append the session ID to the URL if the client doesn't support cookies. You can do this using the <c:url> JSTL tag: