Cookie is a small piece of code which is stored by web site 
on clint hard disk for forther refference.
i'am not sure about session-id.

Cookie is a small peice of file, usually a text file. It
tracks the information of where you (the URL of site) what
time and date?

Session ID is the distinct identifier residing on the server
linked with the client side browser. This identifier is
alive only when the user is logged in or until s/he closes
the browser window.

session memory:
when client makes a first request to the appliction the 
webserver will allocate a block of memory unique to the 
client.this block of memory is called "session memory".
session id:
when client makes a first request to the application,the 
session will be created with unique identifier called as 
session id.this will be sent to the client.when the client 
sening subsequent requests,the request will be sent with 
the session id .then the webserver will find the session 
for the client

cookie is the peice of information that ur web client means 
Internet explore or mogzilla or netscape will save the data 
for u. for example when u type ur id and pass word it saves 
as cookie and next time u type it shows the id below the 
edit box u can select it press enter.
 Cookie is useful to remind ur information on ur client 
application instead of typing every time

 Coming to Seession id When do u send a request to web 
server after establishing a connection the server will give 
a session id which uniquely identifis ur sesion of request 
and the same time u may send other request from other 
browser but from the same machine.then server gives u other 
session id. whenever ur sending the request next time the 
sesion id lets the server that the request belongs to that 
particular session. We use session id's to make the server 
a fool.










These session id's r much imporant for performance testers 
using LOADRUnner y because while creating Vuser script the 
session id given by system wiil be hord coded and at run 
time other session id given by server but sequence of all 
requests r recorded along with session id hard coded 
Whenever 2 nd request goes to server the mismath occurs. So 
we have to coorelate this session id to fool the server.