PHPBuilder.com: Tracking User Activity in PHP with Cookies and Sessions
So, why can't you maintain state with HTTP? The main reason is because HTTP is a stateless protocol, meaning that it has no built-in way of maintaining state between transactions. For example, when a user requests one page followed by another, HTTP does not provide a way for us to tell which user made the second request. In this article we will look at what maintaining state in PHP applications entails.
They introduce cookies and how they can be used to store information about the user's session on their client for a certain amount of time. This makes it much simpler for the cross-page or cross-session details to persist. There's a bit of code showing how to set and get a cookie and how to do the same with a session.