Imagine you are in a bank, trying to get some money out of your account. But it's dark; the bank is pitch black: there's no light and you can't see your hand in front of your face. You are surrounded by another 20 people. They all look the same. And everybody has the same voice. And everyone is a potential bad guy. In other words, HTTP is stateless.
This bank is a funny type of bank - for the sake of argument here's how things work:
The teller can't see or readily recognise you, remember, because the lights are all out. What if your teller gives your $10,000 withdrawal to someone else - the wrong person?! It's absolutely vital that the teller can recognise you as the one who made the withdrawal, so that you can get the money (or resource) that you asked for.
Solution:
When you first appear to the teller, he or she tells you something in secret:
"When ever you are talking to me," says the teller, "you should first identify yourlself as GNASHEU329 - that way I know it's you".
Nobody else knows the secret passcode.
So I decide to go to and chill out for 20 minutes and then later i go to the teller and say "I'd like to collect my withdrawal"
The teller asks me: "who are you??!"
"It's me, Mr George Banks!"
"Prove it!"
And then I tell them my passcode: GNASHEU329
"Certainly Mr Banks!"
That basically is how a session works. It allows one to be uniquely identified in a sea of millions of people. You need to identify yourself every time you deal with the teller.
If you got any questions or are unclear - please post comment and i will try to clear it up for you. The following is not strictly speaking, completely accurate in its terminology, but I hope it's helpful to you in understanding concepts.