But, if I login from two different windows of on One machine, I am getting same session Id.
If you access your web application from a browser that supports tabs the tabs will share the same session id because the browser instance is the same. If you open a new instance of IE from an existing instance (i.e. by hitting CTRL+N) the behaviour is the same. If you open two instances of a browser from the start menu you will get two distinct session ids.
I suppose you need to ask yourself "does it matter"?