For your better understanding, Say if you are logging into a mail account , Once you provide the username and password the data will reach the mail server as a response it sends an information like identification of your IP, date time so on all these will be stored in the cookie with the Unique id given to you. this (cookie file) can be viewed in your system too.
on other part session is like say after you logged in you might see your username across different pages like inbox, sent items, trash so on here your username will maintained by the session until you sign out This is called session
Hope you understood now.