Then you do what you have to do and when your done you log off. Similarly, when you need to do something in an application, you open the application, do what you want to do and then close it. So if no state is maintained then the web server doesn't know who you are, if you're still reading the content it gave you, or even if you're already long gone. It really doesn't care and if you think about it, the concept really does make sense for static pages. Now along comes ASP and suddenly we're not serving static pages anymore.
Some people get one thing and others get something entirely different.
So, as always seems to happen when we have a problem like this, ASP comes to our rescue and maintains state for us. It does this by creating a unique cookie and sending it to the client. This cookie then acts as an identifier so that the server knows which set of session information on the server is associated with which requests. So it's important to note that while all information in a session is actually stored on the server and not transmitted to the browser, the fact remains that cookies need to be enabled in order for the server to track a users session. Using this combination of server side storage and cookies, ASP provides us with a nice neat way to use this information without having to worry about how it's actually done.